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University of Essex homepage Events The Co Pricing Factor Zoo
Event

The Co-Pricing Factor Zoo

  • Wed 26 Feb 25

    10:00 - 11:30

  • Colchester Campus

    EBS.2.1

  • Event speaker

    Dr Christian Julliard

  • Event type

    Lectures, talks and seminars

  • Event organiser

    Essex Finance Centre

  • Contact details

    Dr Anna Sarkisyan

The Essex Finance Centre (EFiC) warmly invites you to join the research seminar with Dr Christian Julliard from the London School of Economics and Political Science.

We analyze 18 quadrillion models for the joint pricing of corporate bond and stock returns. Only a handful of factors, behavioural and nontradable, are robust sources of priced risk. Yet, the true latent stochastic discount factor is dense in the space of observable factors. A Bayesian Model Averaging Stochastic Discount Factor (BMA-SDF), combining the corporate bond and stock factor zoos, explains risk premia better than all existing models, both in- and out-of-sample. We show that multiple factors are noisy proxies for common underlying sources of risk, and the BMA-SDF aggregates them optimally. The SDF, as well as its conditional mean and volatility, are persistent, track the business cycle and times of heightened economic uncertainty, and predict future asset returns. Finally, we show that stock factors price the credit component of corporate bond excess returns well, while the Treasury component is priced almost exclusively by the bond factors.

Speaker

Dr Christian Julliard is an Associate Professor in the Department of Finance at the London School of Economics, where he is also a senior research associate of the Financial Market Group and the Paul Woolley Centre, and a programme director of the Systemic Risk Centre, and he has been the Finance PhD Programme director. He is also a research affiliate of the Financial Economics programme of the Centre for Economic Policy Research.

His research has been published in leading economics and finance journal such as the Journal of Political Economy, the Journal of International Economics, the Journal of Econometrics, The Journal of Finance, The Review of Financial Studies, and the Journal of Financial Economics. He is/has been on the editorial boards of The Review of Economic Studies, the Journal of Empirical Finance and Economica.

He was awarded a M.Sc. and a Ph.D. in Economics by the Economics Department at Princeton University where he was also affiliated with the Bendheim Center for Finance and the Princeton School of Public and International Affairs. He also received a B.A. in International Economics and Business Studies from the University of Naples Partenope, a M.A. in Economics and Finance from the University of Naples Federico II, and a Dottorato di Ricerca in Public Economics from the University of Salerno.

He first joined the LSE Economics Department in 2005, where he has been awarded tenure in 2009, and he has also been a visiting assistant professor of economics and finance at the Tepper School of Business at Carnegie Mellon University.

His research interests span finance, macroeconomics, networks, and the frontier of applied econometrics.

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