2022 SoFiE Financial Econometrics Summer School

Description

Topic:
Anomalies and Factor Models
Date & Time:
Monday, August 22, 2022 - 19:00 to Friday, August 26, 2022 - 23:00 (China Standard Time)
Speaker:
Professor Kewei Hou and Professor Yan Liu
Location:
ONLINE EVENT (VIA ZOOM)
SoFiE Financial Econometrics Summer School
"Anomalies and Factor Models"
August 22-August 26, 2022

Volatility Institute, NYU Shanghai

The SoFiE Financial Econometrics Schools are annual week-long research-based courses for Ph.D. students and new faculty in financial econometrics. For the first two years, the Summer School was held at Oxford University’s Oxford-Man Institute and in 2014 it moved to Harvard University. In 2015 and 2016, it was held in Brussels. Since 2017, The SoFiE Financial Econometrics Summer School took place in North America, Asia and Europe. In the previous four consecutive years from 2018-2021, it was held at the Volatility Institute of NYU Shanghai.

The editorial board for these annual series is made up of professors as follows:

Torben G. Andersen (Northwestern University)

Francis X. Diebold (University of Pennsylvania, past President of SoFiE)

Eric Ghysels (University of North Carolina, Chapel Hill, Secretary and Founding Co-President of SoFiE)

Ravi Jagannathan (Northwestern and past President of SoFiE)

Per Mykland (University of Chicago and past President of SoFiE)

Eric Renault (Brown University and past President of SoFiE)

Neil Shephard (Harvard University)

Viktor Todorov (Northwestern University)

Course Description:
The course is intended for Ph.D. students and junior faculty interested in empirical asset pricing and financial econometrics. It provides a detailed look at the state of the anomaly and factor pricing literature today, the major questions that are the subjects of on-going debates, and the set of econometric tools that allow researchers to contribute to the debates. It also discusses topics/ideas that are potentially interesting for future research.

This course is open to Ph.D. students and junior faculty who apply and are admitted to the Summer School. The course offers opportunities for participants to present their current research and receive feedback from the instructors and other participants. Applicants who are interested in presenting their work should indicate so on their application and submit the paper they plan to present. Applicants who are selected to present will be informed when they receive their admission decisions.

Lecturers:

Professor Kewei Hou (The Ohio State University)

Professor Kewei Hou is the Ric Dillon Endowed Professor in Investments at Fisher College of Business, The Ohio State University. His primary research interest is in the area of empirical asset pricing with a specialization in the predictability of asset returns. He has published in the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Accounting and Economics, Review of Finance, Journal of Financial and Quantitative Analysis, and Management Science. Professor Hou is an Editor of the Journal of Empirical Finance, Associate Editor of the Journal of Banking and Finance and Asia-Pacific Journal of Financial Studies, Faculty Research Fellow of the Charles A. Dice Center for Research in Financial Economics and China Academy of Financial Research (CAFR), and the recipient of research grants from the Institute for Quantitative Research in Finance (Q-Group), INQUIRE-Europe, INQUIRE-UK, BSI GAMMA Foundation, Chicago Quantitative Alliance, and Research Grants Council (RGC) of Hong Kong. Professor Hou joined The Ohio State University Fisher College of Business in 2001. He received his B.S. in Electrical Engineering from the University of Science and Technology of China (USTC) and his Ph.D. in Finance from the University of Chicago Booth School of Business.

Professor Yan Liu (Purdue University)

Professor Yan Liu is an Associate Professor of Finance at Krannert School of Management, Purdue University. His primary research interest is in the area of empirical asset pricing, financial econometrics, and macro finance. He has published in the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Management Science, Review of Asset Pricing Studies, and Journal of Portfolio Management. His work on asset pricing anomalies won the NASDAQ OMX award for the best paper on asset pricing from the Western Finance Association (WFA), INQUIRE-Europe-UK best paper award, and Bernstein Fabozzi/Jacobs Levy award for the best paper in the Journal of Portfolio Management. Professor Liu received his Ph.D. in finance in 2014 from the Fuqua School of Business at Duke University and his B.S. in mathematics from Tsinghua University of China.

Course Outline:

Anomaly definition and introduction

Anomalies and asset pricing: Major categories of anomalies

Assessing the significance of anomalies: Which anomalies are likely true and unique?

Factor model introduction

Spanning anomalies with factors: A horse race among competing models

New techniques on spanning tests

Discussion of future research topics on anomalies and factor models

Applications:
Applicants should register and submit electronical materials through the following registration website: https://research.shanghai.nyu.edu/vins/sofie_summer_school_registration. The applications should include a full CV and motivation letter (half-page length) explaining why attending this course would be helpful to the applicant’s research work. All materials should be in pdf version. The application deadline is 15 June, 2022. Decisions will be emailed out by 1 July, 2022.

Paper Presentations:

Applicants are encouraged to present some of their thesis work during evening sessions. For this, they should preferably append a paper to their application. They can submit an extensive abstract if the paper is not yet finished. The paper topics need not be closely linked to the course but obviously must be in the field of financial econometrics. Papers will be selected by the organizing committee on the basis of their quality.

Fees:
$300 for Ph. D. students and faculty members attending this course.

$600 for Ph.D. level colleagues from other institutions.

Confirmed admission of a selected applicants will be conditional on the fee payment in due time (details will be provided in the admission email).