{"id":7236,"date":"2023-01-06T12:11:49","date_gmt":"2023-01-06T11:11:49","guid":{"rendered":"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-pr-irina-zviadadze-hec-paris\/"},"modified":"2024-02-22T09:54:31","modified_gmt":"2024-02-22T08:54:31","slug":"df-lunch-seminar-pr-irina-zviadadze-hec-paris","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-pr-irina-zviadadze-hec-paris\/","title":{"rendered":"DF Lunch Seminar Pr Irina Zviadadze, HEC Paris"},"content":{"rendered":"\n<section class=\"wp-block-unilux-blocks-free-section section\"><div class=\"container xl:max-w-screen-xl\">\n<p><strong>Abstract:<\/strong><\/p>\n\n\n\n<p>Our objective is to develop a methodology to price the cross section of asset returns. Despite the hundreds of systematic risk factors considered in the literature (&#8220;factor zoo&#8221;), there is still a sizable pricing error. Our key insight is that the pricing error is compensation not just for omitted systematic risk but also asset-specific risk. We use this insight to construct a stochastic discount factor (SDF) that prices the cross section of stock returns exactly. Empirically, we demonstrate that more than half of the variation in this SDF is explained by an aggregate measure of asset-specific risk that reflects market frictions and behavioral biases.<\/p>\n<\/div><\/section>\n","protected":false},"excerpt":{"rendered":"","protected":false},"author":47,"featured_media":7237,"parent":0,"menu_order":0,"comment_status":"open","ping_status":"closed","template":"","format":"standard","meta":{"featured_image_focal_point":[],"show_featured_caption":false,"ulux_newsletter_groups":"","uluxPostTitle":"","uluxPrePostTitle":"","_trash_the_other_posts":false,"_price":"","_stock":"","_tribe_ticket_header":"","_tribe_default_ticket_provider":"","_tribe_ticket_capacity":"0","_ticket_start_date":"","_ticket_end_date":"","_tribe_ticket_show_description":"","_tribe_ticket_show_not_going":false,"_tribe_ticket_use_global_stock":"","_tribe_ticket_global_stock_level":"","_global_stock_mode":"","_global_stock_cap":"","_tribe_rsvp_for_event":"","_tribe_ticket_going_count":"","_tribe_ticket_not_going_count":"","_tribe_tickets_list":"[]","_tribe_ticket_has_attendee_info_fields":false,"event_start_date":"2022-03-02 12:00:00","event_end_date":"2022-03-02 13:15:00","event_speaker_name":" Professor Irina Zviadadze","event_speaker_link":"","event_is_online":false,"event_location":"Main Building, Room B22, 2nd Floor","event_street":"成人头条 6 Rue Richard Coudenhove-Kalergi ","event_location_link":"","event_zip_code":"1359","event_city":"Luxembourg","event_country":"LU"},"events-topic":[301],"events-type":[],"organisation":[116],"authorship":[],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v22.3 (Yoast SEO v22.3) - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>DF Lunch Seminar Pr Irina Zviadadze, HEC Paris - FDEF events I 成人头条.lu<\/title>\n<meta name=\"description\" content=\"Abstract: Our objective is to develop a methodology to price the cross section of asset returns. Despite the hundreds of systematic risk factors\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-pr-irina-zviadadze-hec-paris\/\" \/>\n<meta property=\"og:locale\" content=\"en_GB\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"DF Lunch Seminar Pr Irina Zviadadze, HEC Paris\" \/>\n<meta property=\"og:description\" content=\"Abstract: Our objective is to develop a methodology to price the cross section of asset returns. Despite the hundreds of systematic risk factors\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-pr-irina-zviadadze-hec-paris\/\" \/>\n<meta property=\"og:site_name\" content=\"FDEF EN\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/uni.FDEF.lu\" \/>\n<meta property=\"article:modified_time\" content=\"2024-02-22T08:54:31+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/01\/default-1.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"1500\" \/>\n\t<meta property=\"og:image:height\" content=\"1125\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Estimated reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-pr-irina-zviadadze-hec-paris\/\",\"url\":\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-pr-irina-zviadadze-hec-paris\/\",\"name\":\"DF Lunch Seminar Pr Irina Zviadadze, HEC Paris - FDEF events I 成人头条.lu\",\"isPartOf\":{\"@id\":\"https:\/\/www.uni.lu\/fdef-en\/#website\"},\"primaryImageOfPage\":{\"@id\":\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-pr-irina-zviadadze-hec-paris\/#primaryimage\"},\"image\":{\"@id\":\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-pr-irina-zviadadze-hec-paris\/#primaryimage\"},\"thumbnailUrl\":\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/01\/default-1.jpg\",\"datePublished\":\"2023-01-06T11:11:49+00:00\",\"dateModified\":\"2024-02-22T08:54:31+00:00\",\"description\":\"Abstract: Our objective is to develop a methodology to price the cross section of asset returns. 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