Dr Svetlana Bryzgalova, Assistant Professor of Finance, London Business School
We propose a novel framework for analysing linear asset pricing models: simple, robust, and applicable to high dimensional problems. For a (potentially mis specified) standalone model, it provides reliable risk premia estimates of both tradable and non-tradable factors, and detects those weakly identified. For competing factors and (possibly non-nested) models, the method automatically selects the best specification – if a dominant one exists – or provides a model averaging, if there is no clear winner given the data. We analyse 2.25 quadrillion models generated by a large set of existing factors, and gain novel insights on the empirical drivers of asset returns.
Speaker bio
Svetlana Bryzgalova is Assistant Professor of Finance at London Business School and CEPR Research Affiliate. She holds a PhD from London School of Economics, and previously worked at Stanford Graduate School of Business. Svetlana’s research interests lie in empirical asset pricing and macrofinance. In particular, she uses financial econometrics and data science to better understand the cross section of asset returns, and the sources of systematic risk in the economy. Her projects have received several best paper awards, including the SFS Cavalcade Best Paper in Asset Pricing (2020).
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Event timings
Date:
2 March 2021
Start Time:
13:00
End Time:
14:00