「Waseda Organizational and Financial Economics Seminar :
Which factors suffer more from omitted variables bias?」
| 日時 | 2025年8月4日（月）13:10～14:50 |
|---|---|
| 開催方法 | ①対面 ＊11号館504教室にお越しください。 ②Zoom＊お申込み完了の自動返信メールにて、参加用URLをお知らせいたします。 |
| 対象 | 学生・教職員・一般 |
| 講演者 | Adrian Cheung 氏 （Professor, Finance, City University of Macau） |
| 要旨 | The proliferation of proposed factors has heightened concerns about omitted variable bias (OVB) in the sparse asset pricing models used to navigate the “factor zoo”. This paper systematically investigates which factors are most vulnerable to OVB. We adopt a formal sensitivity analysis framework, grounded in recent econometric advances, to quantify the robust-ness of stochastic discount factor (SDF) loadings using R2-based measures on U.S. equity and bond market data. We find that a factor’s robustness is not an intrinsic property but is highly conditional on the model’s specification. In equity models, we document a starkly opposing dynamic in OVB resilience: the inclusion of profitability and investment factors causes the robustness of the value factor (HML) to collapse?quantifying its redundancy in terms of extreme vulnerability to OVB?while simultaneously fortifying the pricing role of the size factor (SMB) by controlling for confounders. Furthermore, we find that core bond market factors are, on average, more resilient than their equity counterparts. Our results provide a practical toolkit for diagnosing OVB and underscore the critical importance of sensitivity analysis in assessing factor model credibility. |
| 世話人 | 宮島 英昭 （早稲田大学商学学術院 教授） |
| 参加申し込み方法 | 参加はこちらからお申込みください。※7月31日（木）17:00締切 |
| その他 | 早稲田大学商学部・産業経営研究所・谷川寧彦分科会 |
