{"id":5261,"date":"2025-07-24T11:44:04","date_gmt":"2025-07-24T02:44:04","guid":{"rendered":"https:\/\/www.waseda.jp\/fcom\/riba\/?p=5261"},"modified":"2025-07-24T11:53:05","modified_gmt":"2025-07-24T02:53:05","slug":"2025%e5%b9%b48%e6%9c%884%e6%97%a5%e6%9c%88-%e3%81%ab%e7%94%a3%e7%a0%94%e8%ac%9b%e6%bc%94%e4%bc%9a%e3%80%8cwaseda-organizational-and-financial-economics-seminar-%e3%80%8d%e3%81%8c%e9%96%8b%e5%82%ac","status":"publish","type":"post","link":"https:\/\/www.waseda.jp\/fcom\/riba\/news\/5261","title":{"rendered":"2025\u5e748\u67084\u65e5(\u6708) \u306b\u7523\u7814\u8b1b\u6f14\u4f1a\u300cWaseda Organizational and Financial Economics Seminar : Which factors suffer more from omitted variables bias?\u300d\u304c\u958b\u50ac\u3055\u308c\u307e\u3059\u3002"},"content":{"rendered":"

\u300cWaseda Organizational and Financial Economics Seminar :
\nWhich factors suffer more from omitted variables bias?\u300d<\/h3>\n
\n\n\n\n\n\n\n\n\n\n
\u65e5\u6642<\/th>\n2025\u5e748\u67084\u65e5\uff08\u6708\uff0913:10\uff5e14:50<\/td>\n<\/tr>\n
\u958b\u50ac\u65b9\u6cd5<\/th>\n\u2460\u5bfe\u9762 \uff0a11\u53f7\u9928504\u6559\u5ba4\u306b\u304a\u8d8a\u3057\u304f\u3060\u3055\u3044\u3002
\n\u2461Zoom\uff0a\u304a\u7533\u8fbc\u307f\u5b8c\u4e86\u306e\u81ea\u52d5\u8fd4\u4fe1\u30e1\u30fc\u30eb\u306b\u3066\u3001\u53c2\u52a0\u7528URL\u3092\u304a\u77e5\u3089\u305b\u3044\u305f\u3057\u307e\u3059\u3002<\/td>\n<\/tr>\n
\u5bfe\u8c61<\/th>\n\u5b66\u751f\u30fb\u6559\u8077\u54e1\u30fb\u4e00\u822c<\/td>\n<\/tr>\n
\u8b1b\u6f14\u8005<\/th>\nAdrian Cheung \u6c0f
\n\uff08Professor, Finance, City University of Macau\uff09<\/td>\n<\/tr>\n
\u8981\u65e8<\/th>\nThe 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\u2019s robustness is not an intrinsic property but is highly conditional on the model\u2019s 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.<\/td>\n<\/tr>\n
\u4e16\u8a71\u4eba<\/th>\n\u5bae\u5cf6\u3000\u82f1\u662d \uff08\u65e9\u7a32\u7530\u5927\u5b66\u5546\u5b66\u5b66\u8853\u9662 \u6559\u6388\uff09<\/td>\n<\/tr>\n
\u53c2\u52a0\u7533\u3057\u8fbc\u307f\u65b9\u6cd5<\/th>\n\u53c2\u52a0\u306f\u3053\u3061\u3089<\/a>\u304b\u3089\u304a\u7533\u8fbc\u307f\u304f\u3060\u3055\u3044\u3002\u203b7\u670831\u65e5\uff08\u6728\uff0917:00\u7de0\u5207<\/td>\n<\/tr>\n
\u305d\u306e\u4ed6<\/th>\n\u65e9\u7a32\u7530\u5927\u5b66\u5546\u5b66\u90e8\u30fb\u7523\u696d\u7d4c\u55b6\u7814\u7a76\u6240\u30fb\u8c37\u5ddd\u5be7\u5f66\u5206\u79d1\u4f1a<\/td>\n<\/tr>\n<\/tbody>\n<\/table><\/div>\n

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