学术活动

短面板中的潜因分析

发布时间:2024-06-07
6月
19
时间和日期
2024-06-19 (星期三) 13:30 下午 - 15:00 下午

Topic:

Latent Factor Analysis in Short Panels

Time&Date: 

01:30 pm-03:00 pm, June 19, 2024 (Wednesday)

Venue

Room 625, Zhiren Building

Speaker:

Prof. Olivier Scaillet (University of Geneva)

Abstract:

We develop inferential tools for latent factor analysis in short panels. The pseudo maximum likelihood setting under a large cross-sectional dimension n and a fixed time series dimension T relies on a diagonal T×T covariance matrix of the errors without imposing sphericity nor Gaussianity. We outline the asymptotic distributions of the latent factor and error covariance estimates as well as of an asymptotically uniformly most powerful invariant (AUMPI) test for the number of factors based on the likelihood ratio statistic. We derive the AUMPI characterization from inequalities ensuring the monotone likelihood ratio property for positive definite quadratic forms in normal variables. An empirical application to a large panel of monthly U.S. stock returns separates month after month systematic and idiosyncratic risks in short subperiods of bear vs. bull market based on the selected number of factors. We observe an uptrend in the paths of total and idiosyncratic volatilities while the systematic risk explains a large part of the cross-sectional total variance in bear markets but is not driven by a single factor. Rank tests show that observed factors struggle spanning latent factors with a discrepancy between the dimensions of the two factor spaces decreasing over time.
Keywords: Latent factor analysis, uniformly most powerful invariant test, panel data, large n and fixed T asymptotics, equity returns.
JEL codes: C12, C23, C38, C58, G12.

Biography:

Olivier Scaillet, Belgo-Swiss is professor of finance and statistics at the Geneva Finance Research Institute of the University of Geneva, and has a senior chair at the Swiss Finance Institute. He holds a Ph.D. from University Paris IX Dauphine in applied mathematics. Professor Scaillet's research expertise is in the area of derivatives pricing, econometric theory and econometrics applied to finance and insurance. He has published several papers in top journals in econometrics and finance, and co-authored a book on financial econometrics. He has been one of the winners of the bi-annual award for the best paper published in the Journal of Empirical Finance on the topic of quantitative risk management and of the Banque Privée Espirito Santo award prize on the topic of mutual fund performance. He is an elected fellow of SoFiE, IAAE, and IMS, fellow of JoE, and elected member of ISI. He is an associate editor of several leading academic journals in econometrics, statistics, banking and finance. He is an advisor for research teams in the finance and banking industry.