一、主題：What Firm Characteristics Drive US Stock Returns?

二、主講人：Yufeng Han，北卡大學夏洛特分校貝克商學院，金融學終身副教授。2003年獲得聖路易斯華盛頓大學金融博士學位，碩士就讀于紐約州立大學布法羅分校，本科就讀于清華大學。研究領域包括資産定價、經濟計量學、貝葉斯經濟計量學、投資管理、國際金融、房地産。研究成果曾在Journal of Financial Economics、Journal of Banking and Finance、Journal of Financial and Quantitative Analysis、《金融研究》等國内外高水平金融學刊物發表。曾獲得科州大學丹佛分校授予的“傑出科研創新獎”，是多個國際著名期刊的匿名審稿人。在北卡大學夏洛特分校任教之前，曾在杜蘭大學和科州大學丹佛分校任教。

三、時間：2018年7月4日，中午12:30-1:30

四、地點：bevictor伟德官网主教913會議室

五、主持人：黃志剛，bevictor伟德官网副教授

Abstract: Considering a comprehensive set of 94 firm characteristics, Green, Hand, and Zhang (2017) and that the predictive ability of firm characteristics for US stock returns declines substantially after 2003 and conclude that only two characteristics affect cross-sectional value-weighted expected returns since that time. Instead of relying on conventional ordinary or weighted least squares to estimate high-dimensional linear regressions, which is susceptible to overfitting, we apply a robust forecast combination approach to the cross section of returns. Using machine learning tools to pool forecasts, we find that most of the firm characteristics matter over time -- and approximately 30 matter on average at each point in time -- for cross-sectional expected returns both before and after 2003. Our combination approach provides informative and economically significant forecasts of cross-sectional returns before and after 2003.