[BK21+/계량연구회 세미나] 김수헌 교수, Scheller College of Business, Georgia Tech (7/13)[BK21+/계량연구회 세미나] 김수헌 교수, Scheller College of Business, Georgia Tech (7/13)

다음과 같이 BK21+/계량연구회 세미나를 안내해 드립니다.

-Speaker : Scheller College of Business, Georgia Tech, 김수헌 교수 (Prof. Soohun Kim, https://scheller.gatech.edu/directory/faculty/kim.s/index.html)
-Time and place : 7월 13일 (July 13) 5:00-6:30 pm, 고려대학교 정경관 509B호 (Political Science and Economics Building 509B)
-Title : “Separating Alpha from Beta”
(Abstract: We analyze the nature of returns for a large set of well-known “anomalies”. Using principal component analysis, we decompose “anomalous” returns into systematic components and idiosyncratic components. Surprisingly, we find that a portfolio constructed from the idiosyncratic components has an economically and statistically significant Sharpe ratio of 1.88, which is 80% larger than the maximum Sharpe ratio achieved by investing in the systematic components. Results are similar if exchange-traded funds are used as the test assets and across different time periods, easing concerns of data-mining. The idiosyncratic component is heavily weighted in valuation characteristics, providing further evidence that “value” may not be a systematic risk factor.)

세미나 후 저녁 식사가 예정되어 있습니다. 많은 참석 부탁드립니다.
There will be a dinner with the speaker after the seminar.
다음과 같이 BK21+/계량연구회 세미나를 안내해 드립니다.

-Speaker : Scheller College of Business, Georgia Tech, 김수헌 교수 (Prof. Soohun Kim, https://scheller.gatech.edu/directory/faculty/kim.s/index.html)
-Time and place : 7월 13일 (July 13) 5:00-6:30 pm, 고려대학교 정경관 509B호 (Political Science and Economics Building 509B)
-Title : “Separating Alpha from Beta”
(Abstract: We analyze the nature of returns for a large set of well-known “anomalies”. Using principal component analysis, we decompose “anomalous” returns into systematic components and idiosyncratic components. Surprisingly, we find that a portfolio constructed from the idiosyncratic components has an economically and statistically significant Sharpe ratio of 1.88, which is 80% larger than the maximum Sharpe ratio achieved by investing in the systematic components. Results are similar if exchange-traded funds are used as the test assets and across different time periods, easing concerns of data-mining. The idiosyncratic component is heavily weighted in valuation characteristics, providing further evidence that “value” may not be a systematic risk factor.)

세미나 후 저녁 식사가 예정되어 있습니다. 많은 참석 부탁드립니다.
There will be a dinner with the speaker after the seminar.