Differences in expected returns reflect and guide investment decisions in the economy. Thus, one often wants to explain differences in expected return without assuming a specific model of the economy. We propose two tests to assess whether risk alone can explain differences in expected returns.
- Speaker
- Date
- Thursday 23 May 2024, 12:00 - 13:00
- Type
- Seminar
- Room
- ET-14
- Building
- E Building
- Location
- Campus Woudestein
We provide the tests with equilibrium foundations that hold within a large class of models. We study tests' properties mathematically and in simulations. Empirically, we find that risk cannot explain most differences in expected returns of characteristic-sorted portfolios. Our findings are consistent with a prominent role of frictions and behavioral biases.
Registration
You can sign up for this seminar by sending an email to eb-secr@ese.eur.nl. The lunch will be provided (vegetarian option included).
Organiser
See also
- More information
Do you want to know more about the event? Contact the secretariat Econometrics at eb-secr@ese.eur.nl.
