题　目：Stochastic Discount Factors with Cross-Asset Spillovers

嘉　宾：何欣 特任副教授 中国科学技术大学

主持人：张大可 助理教授 上海交通大学安泰经济与管理学院

时　间：2025年10月15日（周三）13:30-15:00

地　点：上海交通大学 徐汇校区安泰浩然楼306

内容简介:

This paper develops a structured asset-pricing framework for estimating the stochastic discount factor (SDF) by aggregating firm-level signals while explicitly incorporating informational linkages across assets. The framework identifies which characteristics are most relevant in characterizing the SDF and reveals the directional flow of predictive influence across the investment universe. Empirically, the resulting SDF delivers strong out-of-sample performance across diverse asset universes and market regimes. Moreover, large, low-turnover firms emerge as central nodes in the inferred information network. The framework offers a transparent and economically grounded lens on the informational structure embedded in cross-sectional return dynamics.

演讲人简介：

何欣是中国科学技术大学管理学院金融学特任副教授。他的研究兴趣集中在资产定价和量本投资。他的研究成果已发表在Journal of Financial Economics、Journal of Banking and Finance、International Review of Finance等权威期刊上。何欣的研究获得了INQUIRE Europe研究奖和IQAM研究奖。何欣本科毕业于上海交通大学（2018），博士毕业于香港城市大学（2022）。

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