{"id":8513,"date":"2024-02-20T10:18:20","date_gmt":"2024-02-20T09:18:20","guid":{"rendered":"https:\/\/www.uni.lu\/fdef-en\/?post_type=events&#038;p=8513"},"modified":"2024-02-22T09:05:07","modified_gmt":"2024-02-22T08:05:07","slug":"df-lunch-seminar-prof-gustavo-freire-erasmus-university","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-prof-gustavo-freire-erasmus-university\/","title":{"rendered":"DF Lunch Seminar &#8211; Prof. Gustavo Freire, Erasmus University"},"content":{"rendered":"\n<section class=\"wp-block-unilux-blocks-free-section section\"><div class=\"container xl:max-w-screen-xl\">\n<ul class=\"wp-block-unilux-blocks-custom-buttons btn-list\"><li class=\"wp-block-unilux-blocks-custom-button\"    aria-disabled=\"false\"\n    >\n    <a\n        role=\"link\"\n        aria-disabled=\"false\"\n                    href=\"https:\/\/www.uni.lu\/fdef-en\/calendar?post_type=events&#038;p=8513&#038;calendar\"\n                target=\"_self\"\n        class=\"btn btn--secondary\"\n            >Add to calendar<\/a>\n<\/li>\n<\/ul>\n\n\n<div class=\"wp-block-unilux-blocks-spacer is-spacer-size-sm\"><\/div>\n\n\n<p><strong>Which (Nonlinear) Factor Models?<\/strong><\/p>\n\n\n\n<p><strong>Abstract:<\/strong><\/p>\n\n\n\n<p>We extend traditional tests of factor models to incorporate nonlinearities. The metric for model evaluation becomes the Sharpe ratio of the mimicking portfolio of a nonlinear stochastic discount factor (SDF) pricing the model factors. Empirically, we investigate the implications of an economically meaningful family of nonlinear SDFs for evaluating popular factor models. We find that, relative to the linear case, introducing nonlinearities substantially improves pricing performance and changes rankings among competing models. The preferred model depends on the test assets: unlike the linear approach, test assets are relevant for model comparison as they are needed to mimic nonlinearities in the factors.<\/p>\n\n\n\n<p>The seminar will be held in person.<\/p>\n\n\n\n<p><strong>Language:<\/strong> English<\/p>\n\n\n<div class=\"wp-block-unilux-blocks-spacer is-spacer-size-sm\"><\/div>\n\n\n<div class=\"wp-block-columns is-layout-flex wp-block-columns-is-layout-flex\">\n<div class=\"wp-block-column is-layout-flow wp-block-column-is-layout-flow\" style=\"flex-basis:66.66%\"><figure class=\"wp-block-dev4-reusable-blocks-image  object-fit--contain\">\n    \n<img decoding=\"async\" class=\"wp-block-image unilux-custom-image-block\"\n                alt=\"\"\n            src=\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/08\/FNR-logo.jpg.png\"\n                srcset=\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/08\/FNR-logo.jpg-300x50.png 300w, https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/08\/FNR-logo.jpg-1024x172.png 1024w, https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/08\/FNR-logo.jpg-768x129.png 768w, https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/08\/FNR-logo.jpg-1536x258.png 1536w, https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/08\/FNR-logo.jpg.png 1920w\"\n                style=\"object-position: 0.00% 0.00%; font-family: &quot;object-fit: contain; object-position: 0.00% 0.00%;&quot;; aspect-ratio: 16\/9; object-fit: contain; width: 75%;\"\n        loading=\"lazy\"\n\/>    <\/figure><\/div>\n\n\n\n<div class=\"wp-block-column is-layout-flow wp-block-column-is-layout-flow\" style=\"flex-basis:33.33%\"><div class=\"wp-block-unilux-blocks-spacer is-spacer-size-sm\"><\/div>\n\n\n<p><em><strong>Supported by the Luxembourg National Research Fund (FNR) (<em>2022\/17573036<\/em><\/strong><\/em>)<\/p>\n<\/div>\n<\/div>\n<\/div><\/section>\n","protected":false},"excerpt":{"rendered":"","protected":false},"author":47,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"open","ping_status":"closed","template":"","format":"standard","meta":{"featured_image_focal_point":[],"show_featured_caption":false,"ulux_newsletter_groups":"","uluxPostTitle":"","uluxPrePostTitle":"","_trash_the_other_posts":false,"_price":"","_stock":"","_tribe_ticket_header":"","_tribe_default_ticket_provider":"","_tribe_ticket_capacity":"0","_ticket_start_date":"","_ticket_end_date":"","_tribe_ticket_show_description":"","_tribe_ticket_show_not_going":false,"_tribe_ticket_use_global_stock":"","_tribe_ticket_global_stock_level":"","_global_stock_mode":"","_global_stock_cap":"","_tribe_rsvp_for_event":"","_tribe_ticket_going_count":"","_tribe_ticket_not_going_count":"","_tribe_tickets_list":"[]","_tribe_ticket_has_attendee_info_fields":false,"event_start_date":"2024-02-13 12:15:00","event_end_date":"2024-02-13 13:15:00","event_speaker_name":"Prof. Gustavo Freire","event_speaker_link":"","event_is_online":false,"event_location":"Campus Kirchberg","event_street":"6, rue Richard Coudenhove-Kalergi","event_location_link":"https:\/\/www.uni.lu\/en\/about\/campuses\/kirchberg-campus\/","event_zip_code":"1359","event_city":"Luxembourg","event_country":"Luxembourg"},"events-topic":[301],"events-type":[315],"organisation":[116,101],"authorship":[],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v22.3 (Yoast SEO v22.3) - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>DF Lunch Seminar - Prof. Gustavo Freire, Erasmus University - FDEF events I Uni.lu<\/title>\n<meta name=\"description\" content=\"Which (Nonlinear) Factor Models? Abstract: We extend traditional tests of factor models to incorporate nonlinearities. The metric for model evaluation\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-prof-gustavo-freire-erasmus-university\/\" \/>\n<meta property=\"og:locale\" content=\"en_GB\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"DF Lunch Seminar - Prof. Gustavo Freire, Erasmus University\" \/>\n<meta property=\"og:description\" content=\"Which (Nonlinear) Factor Models? Abstract: We extend traditional tests of factor models to incorporate nonlinearities. The metric for model evaluation\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-prof-gustavo-freire-erasmus-university\/\" \/>\n<meta property=\"og:site_name\" content=\"FDEF EN\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/uni.FDEF.lu\" \/>\n<meta property=\"article:modified_time\" content=\"2024-02-22T08:05:07+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.uni.lu\/wp-content\/uploads\/sites\/3\/2023\/09\/thumbnails-news-events-DF-Lunch-Seminar.png\" \/>\n\t<meta property=\"og:image:width\" content=\"1000\" \/>\n\t<meta property=\"og:image:height\" content=\"665\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/png\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Estimated reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-prof-gustavo-freire-erasmus-university\/\",\"url\":\"https:\/\/www.uni.lu\/fdef-en\/events\/df-lunch-seminar-prof-gustavo-freire-erasmus-university\/\",\"name\":\"DF Lunch Seminar - Prof. Gustavo Freire, Erasmus University - FDEF events I Uni.lu\",\"isPartOf\":{\"@id\":\"https:\/\/www.uni.lu\/fdef-en\/#website\"},\"datePublished\":\"2024-02-20T09:18:20+00:00\",\"dateModified\":\"2024-02-22T08:05:07+00:00\",\"description\":\"Which (Nonlinear) Factor Models? 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