[20° Forum SIS] seminario Elisa Ossola in Bicocca

[Fabio Bellini]

Il giorno martedì 14 gennaio alle ore 14.30 
presso la aula seminari del Dipartimento di 
Statistica e Metodi Quantitativi della Università 
di Milano-Bicocca, al IV piano dell'edificio U7,
la dott.ssa Elisa Ossola della Università di Lugano terrà un seminario su

Time-varying risk premium in large cross-sectional equity datasets

Abstract:
We develop an econometric methodology to infer 
the path of risk premia from a large unbalanced panel of
individual stock returns. We estimate the 
time-varying risk premia implied by conditional linear asset pricing models
where the conditioning includes both instruments 
common to all assets and asset specific instruments. The estimator
uses simple weighted two-pass cross-sectional 
regressions, and we show its consistency and asymptotic normality
under increasing cross-sectional and time series 
dimensions. We address consistent estimation of the asymptotic
variance by hard thresholding, and testing for 
asset pricing restrictions induced by the no-arbitrage assumption.
We derive the restrictions given by a continuum 
of assets in a multi-period economy under an approximate factor
structure robust to asset repackaging. The 
empirical analysis on returns for about ten thousands US stocks from July
1964 to December 2009 shows that risk premia are 
large and volatile in crisis periods. They exhibit large positive
and negative strays from time-invariant 
estimates, follow the macroeconomic cycles, and do not match risk premia
estimates on standard sets of portfolios. The 
asset pricing restrictions are rejected for a conditional four-factor model
capturing market, size, value and momentum 
effects (joint with P. Gagliardini and O. Scaillet).

Tutti gli interessati sono invitati a partecipare.


Prof. Fabio Bellini
Department of Statistics and Quantitative Methods
University of Milano-Bicocca
Via Bicocca degli Arcimboldi 8, 20126 Milano
0039-2-64483119
http://www.economia.unimib.it/bellini