报告题目:asset pricing via lstm-based cross-section prediction: evidence from the chinese market
报告人:姚海祥教授(广东外语外贸大学)
时间:2023年 10月19日 16:00-17:30
地点:管理学院a南-217
报告内容摘要:
this paper proposes a cross-section long short-term memory (cs-lstm) factor model to explore the possibility of estimating expected returns in the chinese stock market. in contrast to previous machine-learning-based asset pricing models that make predictions directly on equity returns, cs-lstm estimates are based on predictions of slope terms from fama–macbeth cross-section regressions using 16 stock characteristics as factor loadings. in line with previous studies in the context of the chinese market, we find illiquidity and short-term momentum to be the most important factors in describing asset returns. by using 274 value-weighted portfolios as test assets, we systematically compare the performances of cs-lstm and three other candidate models. our cs-lstm model consistently delivers better performance than the candidate models and beats the market at all different levels of transaction costs. in addition, we observe that assets with smaller cap are favored by the model. by repeating the empirical analysis based on the top 70% of stocks, our cs-lstm model remains robust and consistently provides significant market-beating performance. our findings from the cs-lstm model have practical implications for the future development of the chinese stock market and other emerging markets.。
姚海祥个人简介:
姚海祥,广东外语外贸大学金融学院教授、博士生导师、云山杰出学者、广东省珠江学者(设岗学科为金融学),广州市金融高级专业人才。从事量化投资和风险管理、养老风险管理和系统性风险管理等方面的研究工作,近年来已在journal of banking and finance, international review of financial ysis 、journal of empirical finance 、journal of economic dynamics & control、european journal of operational research、quantitative finance、insurance: mathematics and economics、economics letters、economic modelling、computers & operations research 、expert systems with applications、《管理科学学报》、《系统工程理论与实践》、《财经研究》和《中国管理科学》等国内外重要期刊上发表学术论文70余篇,其中有30余篇被ssci/sci检索。近年来,主持了国家社科基金重点项目(重大转重点)、国家自然科学基金面上项目(3项)、中国博士后科学基金特别资助项目和一等资助面上项目、教育部人文社科基金项目和广东省自然科学基金重点项目等项目。他所带领的“投资管理、期权定价和风险管理”科研团队入选为广东普通高等学校创新团队。近年来先后到香港中文大学、香港理工大学、美国北卡罗来纳大学和香港大学进行访学与合作研究。主要学术兼职包括:中国管理科学与工程学会金融计量与风险管理研究会理事、常务理事、副秘长;中国管理现代化研究会金融管理专业委员会理事、副秘书长;中国优选法统筹法与经济数学研究会量化金融与保险分会理事;中国管理现代化研究会管理与决策科学专业委员会理事;广东金融学会学术委员会委员等。