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Finance Research Seminars supported by Unigestion

The Swiss Finance Institute at EPFL and the University of Lausanne organize joint research seminars in finance. The seminars attract speakers from academic institutions around the world and cover a variety of topics of interest to both academics and research-oriented professionals.

Unigestion, an independent asset manager, is pleased to support this series of seminars. By encouraging academic research, the firm's aim is to foster innovation in the financial industry.

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The seminars usually take place on Fridays from 10:30 am to 12:00 pm in room 126 at Extranef on the campus of the University of Lausanne. Please visit for directions


A Dynamic Model of Characteristic-Based Return Predictability

Aydogan ALTI (University of Texas, McCombs School of Business)

March 24, 2017  -  10:30-12:00, room Extranef 126

We present a model where the “climate of disruptive innovation,” which determines the arrival rate of new projects and the exit rate of existing businesses, is a source of systematic risk that influences the returns of portfolios sorted on value, profitability, and asset growth. These characteristic-sorted portfolios generate abnormal returns along finite sample paths too frequently, relative to the rational benchmark, when investors exhibit biases in processing information about the disruption climate. In simulations of the calibrated model we quantify the ex-ante likelihood of observing the historical evidence on characteristic-based return predictability.

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Extranef - CH-1015 Lausanne - Suisse - Tél. +41 21 692 33 84 - Fax +41 21 692 34 35