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DTSTART:20231029T030000
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UID:calendar.133669.field_date.0@www.tse-fr.eu
DTSTAMP:20260612T173825Z
CREATED:20240117T161001Z
DESCRIPTION:Pat Akey (University of Toronto - Rotman School of Management)\
 , “Noisy Factors”\, Finance Seminar\, Toulouse: TSE\, May 24\, 2024\, 14:0
 0–15:15\, room Auditorium 4.\n\nThe Fama-French factors are ubiquitous in 
 empirical finance. We find that factor\nreturns differ substantially depen
 ding on when the data were downloaded\, and\nonly a small portion of these
  retroactive changes is explained by revisions to the\nunderlying data. We
  show that these changes have large effects in two widely-\nstudied contex
 ts: mutual fund performance and cross-sectional equity pricing.\nModel eva
 luation tests suggest that more recent vintages do not perform better.\nOu
 r findings have significant implications for the integrity of finance rese
 arch and\nunderscore the importance of understanding the provenance of thi
 rd-party data.
DTSTART;TZID=Europe/Paris:20240524T150000
DTEND;TZID=Europe/Paris:20240524T161500
LAST-MODIFIED:20260113T095129Z
LOCATION:Toulouse: TSE\, May 24\, 2024\, 14:00–15:15\, room Auditorium 4
SUMMARY:Finance Seminar
URL;TYPE=URI:https://www.tse-fr.eu/seminars/2024-noisy-factors
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