【主讲】任宇 (厦门大学)
【主题】Evaluating Asset Pricing Factors
【时间】2016年4月5日 (周二) 15：30-17：00
【地点】上海财经大学经济学院楼701室
【语言】英文
【摘要】The Hansen-Jagannathan distance (HJ distance) can evaluate the asset pricing models.This paper proposes an averaged HJ distance method to assess the factors in themodels. Our method can rank the relative importance of these factors, and hencebetter model is potentially able to be built up. Empirically, we evaluate the factors inthe four popular asset pricing models, and construct a new factor model, which canoutperform the others.
