题　目：On the Macroeconomic Foundations of the Anomaly Zoo

嘉　宾：XUEMIN YAN 讲席教授 Lehigh University

主持人：许文健 副教授 上海交通大学安泰经济与管理学院

时　间：2026年10月28日（周三）10:00-11:30

地　点：讲座：上海交通大学 徐汇校区安泰浩然楼308

内容简介:

We apply modern asset pricing methods to estimate risk premia for 192 candidate macroeconomic factors using a broad cross section of U.S. equity portfolios. Twelve factors carry statistically significant risk premia after controlling for multiple testing, with the strongest evidence among variables related to services consumption, private-sector employment, housing starts, and residential building permits. Models that include tradable mimicking portfolios for these factors frequently outperform leading multifactor models in pricing CAPM anomalies. The best-performing models reduce average anomaly alphas by about 60% and render up to 70% of anomalies statistically insignificant.

演讲人简介：

Dr. Yan is a Perella Chair and Professor of Finance at Lehigh University. He obtained a B.A. in finance from Renmin University of China in 1991 and a Ph.D. in finance from the University of Iowa in 2001. Before joining Lehigh University in 2019, Dr. Yan spent 18 years at the University of Missouri. Dr. Yan’s main research interests include asset pricing, institutional investors, mutual funds, hedge funds, short selling, and liquidity. Dr. Yan has published extensively in top academic journals including the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Management Science, Journal of Financial and Quantitative Analysis, Journal of Accounting and Economics, and Journal of Accounting Research. He is an associate editor of the Journal of Financial Research. Dr. Yan’s research has been cited in Business Week, The Economist, Financial Times, and The Wall Street Journal.

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