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DTSTART:20250101T000000
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BEGIN:VEVENT
DTSTART;TZID=UTC:20260505T160000
DTEND;TZID=UTC:20260505T200000
DTSTAMP:20260407T111034Z
CREATED:20260407T111034Z
LAST-MODIFIED:20260407T111034Z
UID:7598-1777996800-1778011200@fabbv.ase.ro
SUMMARY:The Intelligent Skewness Factor
DESCRIPTION:Dan Gabriel Anghel \nBucharest University of Economic Studies and Institute for Economic Forecasting\, Romanian Academy; dan.anghel@fin.ase.ro \nAbstract: \nTBA. \nZoom:\nhttps://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09 \nActivitate de socializare: TBD
URL:https://fabbv.ase.ro/event/the-intelligent-skewness-factor-2/
LOCATION:Sala 3M4\, Clădirea Moxa\, Str.Mihail Moxa nr 5-7\, București\, Romania
CATEGORIES:Seminar științific
END:VEVENT
BEGIN:VEVENT
DTSTART;TZID=UTC:20260519T160000
DTEND;TZID=UTC:20260519T200000
DTSTAMP:20260407T111125Z
CREATED:20260407T111125Z
LAST-MODIFIED:20260407T111125Z
UID:7600-1779206400-1779220800@fabbv.ase.ro
SUMMARY:A Unified Framework for Anomalies based on Daily Returns
DESCRIPTION:Adam Zaremba \nMBS School of Business & Poznan University of Economics and Business & Monash University; adam.zaremba@ue.poznan.pl \nAbstract: \nNumerous cross-sectional equity anomalies draw on the same underlying information: the sequence of daily returns over the previous month. Using a data-driven approach\, we estimate the empirical mapping from the distribution of last month’s daily returns to future performance without imposing functional forms. The resulting Daily Return Information Factor (DRIF) earns economically large premia\, holds across subsamples and research designs\, and remains significant after controlling for the modern factor zoo. DRIF subsumes most short-horizon and lottery-style anomalies and emerges as a key factor in asset pricing tests. \nZoom:\nhttps://ase.zoom.us/j/88975840175?pwd=Q0ZnbHl0TjhqcEtzVnhMUWRmdWdPQT09 \nActivitate de socializare: TBD
URL:https://fabbv.ase.ro/event/a-unified-framework-for-anomalies-based-on-daily-returns/
LOCATION:Sala 3M4\, Clădirea Moxa\, Str.Mihail Moxa nr 5-7\, București\, Romania
CATEGORIES:Seminar științific
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