Tsinghua PBCSF Seminar (Nov. 15, 2023): Shaojun Zhang, Assistant Professor, Ohio State University: Factor Value

Time: 2023-11-13 15:47 Print

Topic: Factor Value

Speaker: Shaojun Zhang, Assistant Professor of Finance, Fisher School of Business, Ohio State University

Time: 10:00am-11:30am, November 15

Location: 4-101


This paper finds that the value and long-term reversal anomalies summarize time series predictability in factors using value and reversal spreads, representing the difference in value-weighted book-to-market ratios and minus past long-term stock returns between long and short legs of factors. Factors only yield positive and significant returns when the value or reversal spread exceeds the historical median. Derived time-series strategies, namely factor value and reversal, outperform and explain various value-style anomalies. Cross-sectional value and reversal strategies long other factors during high spreads and short them otherwise. Factor predictability is consistent with asymmetric limits of arbitrage and persistent overpricing correction.

Speaker Biography:

Shaojun Zhang is an assistant professor of finance at the Ohio State University, Fisher School of Business. Professor Zhang's primary research fields are asset pricing, international finance and sustainable investing. She is interested in issues related to expected return, macroeconomic risk, and tail risk. She teaches investments at Fisher. She is an advisory editorial board member of Journal of Portfolio Management. She earned a bachelor's degree in economics from Peking University and a PhD in finance from New York University's Stern School of Business. Before joining OSU, Zhang was an assistant professor of finance at the University of Hong Kong. Zhang also worked as a portfolio manager at Vanguard.