ILE/Wharton Finance Seminar
Adriana Robertson, the Honorable Justice Frank Iacobucci Chair in Capital Markets Regulation and an Associate Professor of Law and Finance, Toronto Faculty of Law, will present “Noisy Factors.” The Fama-French factors are ubiquitous in empirical finance, industry, and law. The authors find that factor returns differ substantially depending on when the data were downloaded, and that the effects of these retroactive changes are large. Their findings have significant implications for the replicability and robustness of finance research and have a direct bearing on a variety of empirical contexts, including cross-sectional asset pricing tests, mutual fund performance analysis, and event studies.
This seminar is a special session of the Wharton Finance Department’s weekly seminar series.