题　目：Link-Firm Characteristics Are Covariances: An IPCA Approach to Economic Linkages

嘉　宾：Jian Feng(冯健) Ph.D. Candidate The University of Hong Kong

主持人：冯芸 金融系主任、教授 上海交通大学安泰经济与管理学院

时　间：2025年1月14日（周二）10:00-11:30

地　点：上海交通大学 徐汇校区安泰楼B207室

内容简介:

In this paper, I study how information embedded in economically linked firm (link-firm) shapes risk compensation. Specifically, I adopt the Instrumented Principal Component Analysis (IPCA) approach and use link-firm characteristics to proxy for dynamic risk loadings. Empirical results are three-fold. First, IPCA based on link-firm characteristics (Link-firm-IPCA) delivers high in- and out-of-sample time-series R^2. Second, Link-firm-IPCA yields a high annualized out-of-sample Sharpe Ratio of 1.9, and combining link-firm and self-firm information can further improve mean-variance efficiency. Third, Link-firm-IPCA factors explain seven lead-lag momentums documented in the economic linkage literature by over 50% in economic magnitude, suggesting a novel risk-based interpretation of lead-lag momentums.

演讲人简介：

Jian Feng is a Ph.D. candidate at Faculty of Business and Economics, University of Hong Kong. Prior to his doctoral studies, he earned both a bachelor's and master's degree from Renmin University of China. His research lies in the area of empirical asset pricing, with a focus on economic networks, behavioral biases, and asset pricing implications of textual analysis. He has a single-authored job market paper, one R&R (acceptable) working paper at the Journal of Financial Economics, and three additional completed working papers.

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