Conference On The Cross Section Of Returns. - Barokong

The Fama-Miller Center at Chicago Booth jointly with EDHEC and the Review of Financial Studies will host a conference on September 27–28, 2018 in Chicago, on the theme “New Methods for the Cross Section of Returns.” Conference announcement here and call for papers here. Papers are invited for submission on this broad theme, including: Which characteristics provide incremental information for expected returns? How can we tame the factor zoo? What are the key factors explaining cross-sectional variation in expected returns? How many factors do we need to explain the cross section? How can we distinguish between competing factor models? Do anomaly returns correspond to new factors? Why a blog post for this among the hundreds of interesting conferences? Naked self-interest. I agreed to give the keynote talk, so the better the conference papers, the more fun I have! This is, I think, a hot topic, and lots of people are making good progress on it. It's a great time for a conference, and I look forward to catching up and trying to integrate what has been done and were we have to go. My sense of the topic and the challenge: (Some of this reprises points in "Discount rates," but not all) Both expected returns and covariances seem to be stable functions of characteristics, like size and book/market ratio. The expected return and covariance of an individual stock seems to vary a lot over time. So we need to build ER(characteristics) and then see if it lines up with covariance(R, factors