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LTI@Unito
and Fondazione
Collegio Carlo
Alberto are
pleased to
invite you to
the next
webinar
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April
20, 2021 |
12:00 - 13:15
“What matters in a characteristic?”
Hugues Langlois (HEC Paris)
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Abstract. We
decompose firm
characteristics into country, industry, and adjusted components and
investigate
their
respective
role in
explaining
expected
returns and
comovements in
individual
international
stock returns.
Models with
adjusted
components
describe
expected
returns and
comovements of
individual
stock returns
better than
models with
unadjusted
characteristics.
While
exposures to
systematic
risk factors
are primarily
explained by
country
components,
alphas are
predominantly
driven by
adjusted
components. In
contrast to
the U.S. stock
market, alphas
in emerging
and other
developed
markets are
larger and
significant.
These rich
empirical
patterns
inform models
of stocks’
expected
returns and
comovements.
Zoom
link
Meeting
ID: 885 2162
6111 Passcode:
044353
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INFORMATION
UNDER THE NEW GENERAL
DATA PROTECTION
REGULATION (GDPR)
Your personal
information has been
gathered for the exclusive
purpose of informing you
about the Collegio's
initiatives, considering
our and your legitimate
interest or your consent.
If you wish to have your
personal data modified
please contact Fondazione
Collegio Carlo Alberto,
piazza Arbarello 8, 1022
Torino, Italy - phone:
+390116705000 -
privacy@carloalberto.org
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© 2021 Fondazione
Collegio Carlo Alberto
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