The next <link en finance research brown-bag-seminar _blank>Brown Bag Seminar is scheduled for Tuesday, November 14th, 2017,

13:45 - 15:00 in seminar room D3.0.218.

Our speaker will be Raman Uppal (EDHEC Business School – Lille).

He will give a talk on "A Portfolio Perspective on the Multitude of Firm Characteristics", co-authored with Victor DeMiguel, Alberto Martín-Utrera, Francisco J.Nogales).

Abstract: We investigate which characteristics matter jointly for an investor who cares not only about average returns but also about portfolio risk, transaction costs, and outof- sample performance. We nd only a small number of characteristics|six|are signicant without transaction costs. With transaction costs, the number of signi cant characteristics increases to 15 because the trades in the underlying stocks required to rebalance dierent characteristics often net out. We show investors can identify combinations of characteristics with abnormal out-of-sample returns net of transaction costs that are not fully explained by the Fama and French (2015) and Hou, Xue, and Zhang (2014) factors.