一、主題： A Comparison of Factor Models in China

二、彙報人：王瑾喆 2023級金融學博士研究生

三、時間地點：2023年12月18日下午15:00，沙河校區3号樓bevictor伟德官网302會議室

四、報告簡介：2023年12月16日，第五屆中國金融學術與政策論壇在北京對外經濟貿易大學召開，由對外經濟貿易大學中國bevictor伟德官网、經濟研究雜志社、Journal of Empirical Finance 雜志社共同承辦。我院博士研究生王瑾喆與bevictor伟德官网朱一峰副教授合作的論文《A Comparison of Factor Models in China》經過評審應邀參會。王瑾喆同學将在校内就該參會論文做出學術報告。

五、報告摘要：We apply various test portfolios and alternative statistical methodology to evaluate the performance of several prominent asset pricing models. To compile the test portfolios, we construct 105 anomalies in China and apply the 23 significant anomalies as test assets for model comparison. The results indicate that in the time-series test, the Hou et al. (2019) five-factor q model exhibits the best overall performance. The pairwise cross-sectional s and the multiple model comparison tests affirm that the Hou et al. (2019) five-factor q model, Fama and French (2018) six-factor model and the Kelly et al. (2019) five-factor Instrumented Principal Component Analysis (IPCA5) stand out as the top performers. Notably, the performance of the five-factor q model is insensitive to variations in experimental design.

撰稿：王瑾喆

初審：位錦

審核：魏旭