Q-Group Late Afternoon Event - Lucky Factors

14 Nov 2018

Professor Campbell R. Harvey


Level 32
200 George st

Q-Group Late Afternoon Event

Wednesday 14th November 16:15 - 17:30

Bio: Cam Harvey is Professor of Finance at Duke University. Cam is ranked 7 worldwide in SSRN citations, and is globally one of the most influential researchers in the field of asset allocation, with numerous books and publications in top journals to his name. Cam is also a partner/senior adviser to Research Affiliates (https://www.researchaffiliates.com/en_us/about-us/our-team/cam-harvey.html)

Topic: Lucky Factors

Abstract: We propose a new method to select amongst a large group of candidate factors - many of which might arise as a result of data mining | that purport to explain the cross-section of expected returns. The method is robust to general distributional characteristics of both factor and asset returns. We allow for the possibility of time-series as well as cross-sectional dependence. The technique accommodates a wide range of test statistics. Our method can be applied to both asset pricing tests based on portfolio sorts as well as tests using individual asset returns. In contrast to recent asset pricing research, our study of individual stocks finds that the original market factor is by far the most important factor in explaining the cross-section of expected returns. The SSRN working paper is here: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2528780

16:15 - 16:30: pre-seminar drinks
16:30 - 17:30: seminar and discussion

Attendees are encouraged to read amongst Cam's wider authorship (than just lucky factors) for question/discussion time. (He has a good list on Google Scholar.)

If you would like to attend, please rsvp using the following link:


We will respond to all rsvps so that you can be certain whether a spot has been allocated.

Kind regards,

The Q-Group Committee
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