题　目：Common Risk Factors in the Returns on Stocks, Bonds (and Options), Redux

嘉　宾：王晓亮 助理教授 香港科技大学

主持人：万相伟 副教授 上海交通大学安泰经济与管理学院

时　间：2026年5月27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:

We identify a strong common risk factor structure that is pervasive across corporate securities: stocks, corporate bonds, and options.  The factors largely capture cross-market commonality, which are highly related to observable factors and key economic indicators. The substantial variation in individual asset returns is explained by common factors, although pricing errors persist. We construct a joint mean-variance efficient portfolio across markets, achieving a high Sharpe ratio resulting from the cross-market hedging against common factors. We demonstrate that market segmentation can be measured by the differences in common factor risk premia between  markets and further document the significant extent of segmentation.

演讲人简介：

Xiaoliang Wang am an Assistant Professor of Finance at HKUST Business School.  His research areas area: Asset Pricing, International & Macro finance, Monetary & Fiscal Policy and Econometrics. He is also a member of the Macro Finance Society.

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