• Graduate program
  • Research
  • News
  • Events
    • Summer School
      • Climate Change
      • Gender in Society
      • Inequalities in Health and Healthcare
      • Business Data Science Summer School Program
      • Receive updates
    • Events Calendar
    • Events Archive
    • Tinbergen Institute Lectures
    • Conference: Consumer Search and Markets
    • Annual Tinbergen Institute Conference
  • Summer School
    • Climate Change
    • Gender in Society
    • Inequalities in Health and Healthcare
    • Business Data Science Summer School Program
    • Receive updates
  • Alumni
  • Magazine
Home | Events | Beyond Arbitrage: Deviations from Risk-Return
Seminar

Beyond Arbitrage: Deviations from Risk-Return


  • Location
    Erasmus University Rotterdam, E building, room ET-14
    Rotterdam
  • Date and time

    May 23, 2024
    12:00 - 13:00

Abstract

Differences in expected returns reflect and guide investment decisions in the economy. Thus, one often wants to explain differences in expected return without assuming a specific model of the economy. We propose two tests to assess whether risk alone can explain differences in expected returns. We provide the tests with equilibrium foundations that hold within a large class of models. We study tests' properties mathematically and in simulations. Empirically, we find that risk cannot explain most differences in expected returns of characteristic-sorted portfolios. Our findings are consistent with a prominent role of frictions and behavioral biases.

Registration
You can sign up for this seminar by sending an email to eb-secr@ese.eur.nl. The lunch will be provided (vegetarian option included).