Zhou Guofu, Frederick Bierman and James E. Spears Professor of Finance at Olin Business School, Washington University in St. Louis, will give a lecture entitled “Risk Estimation, Predictability, and Asset Pricing via Machine” at 2:00 p.m. on June 20.
This is the 14th lecture of the “Academic Lectures of the Department of Applied Finance”, hosted by the School of Finance, Renmin University of China (RUC). The lecture will be held in Room 515A in the Mingde Main Building. Yuan Peixuan, Assistant Professor will preside over the lecture.
Abstract: The seminar will consist of three parts. The first part discusses how to estimate the time-varying risk premium of the stock market, and examine some of the latest research on predicting the stock market with machine learning tools, including the role of the ESG and option trading activities in affecting the market returns. The second part focuses on cross-sectional risk estimation by proposing new Fama-MacBeth regression approaches and a new class of risk momentum. Finally, the last part discusses the economic objectives of machine learning and impacts of important economic announcements such as FOMC and earnings.
Introduction: Professor Zhou’s research interests include portfolio choice, asset allocation, technical analysis, bubbles and crashes, anomalies, asymmetric information, asset pricing tests, Bayesian learning, model selection, econometric methods in finance. His journal publications have appeared in Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Management Science, and other leading academic journals. Also, He is co-author of the book Financial Economic, and contributor to several books, including Advanced Fixed-Income Valuation Tools, and Q-finance, etc. Presently, he also serves as Associate Editor of Journal of Financial and Quantitative Analysis, and on the Editorial Board of Journal of Portfolio Management, International Journal of Portfolio Analysis & Management, Annals of Economics and Finance.
