一、 主题：A Comparison of Factor Models in China

二、 汇报人：王瑾喆 2021级金融工程直博生

三、 时间地点：2024年10月8日下午14：00，沙河校区3号楼218会议室

四、 报告简介：suncitygroup太阳新城2021级博士研究生王瑾喆与朱一峰副教授合作的论文《A Comparison of Factor Models in China》被第二十三届中国金融工程学年会接收录用，王瑾喆同学将在校内就该参会论文做出学术报告。

五、 报告摘要：We apply various test portfolios and alternative statistical methodologies to evaluate the performance of eleven asset pricing models. To compile the test portfolios, we construct 105 anomalies in China and apply the 23 significant anomalies as test assets for model comparison. The results indicate that in the time-series test and anomalies explanation, the Hou et al. (2019) five-factor q model exhibits the best overall performance. The pairwise cross-sectional s and the multiple model comparison tests affirm that the Hou et al. (2019) five-factor q model, the Fama and French (2018) six-factor (FF6) model and the Kelly et al. (2019) five-factor Instrumented Principal Component Analysis (IPCA5) model stand out as the top performers. Notably, the performance of the five-factor q model is insensitive to variations in experimental design.

六、参加会议简介：2024年9月20日至9月22日，第二十三届中国金融工程学年会在重庆举办。本次年会由中国金融工程学会主办，重庆理工大学经济suncitygroup太阳新城承办。旨在汇聚国内外金融领域的专家学者和业界精英，共同探讨金融工程领域的前沿问题与发展趋势。年会围绕“金融创新与新质生产力”的主题展开深入交流。

撰稿：王瑾喆

初审：赵学辉

终审：魏旭