Chunjie Wang
I am Chunjie Wang (王淳杰), a PhD student with the finance department of Stockholm School of Economics. My research interest lies in empirical asset pricing, financial economics and Machine Learning.
I am on the academic job market 2024-2025 and will be available for virtual interviews in conjunction with the EJME and the AFA/ASSA Meeting.
Job market paper: Asset Pricing, not Equity Pricing
Abstract: This paper shows that building factors with firms’ asset returns greatly reduces the number of factors necessary to explain the cross section. A 5-factor model based on asset returns captures 62.4% of the cross-sectional variation in 100 candidate factors, compared to only 38.6% captured by an 88-factor model using equity returns. Asset-based market portfolio and implied mean-variance-efficient (MVE) portfolio outperform their equity-based counterparts in out-of-sample Sharpe ratios. The alphas of the implied MVE portfolios diminish when tested against asset-based market portfolio than Fama-French 4-factor model. The non-linear transformation of equity returns due to leverage necessitates additional factors in a linear model to approximate the non-linearity, thereby contributing to the factor zoo.