Do Common Factors Really Explain the Cross-Section of Stock Returns?

Alejandro Lopez-Lira of Warrington College of Business at the University of Florida presents his paper, "Do Common Factors Really Explain the Cross-Section of Stock Returns?" followed by discussion by Guofu Zhou of Olin Business School at Washington University in St. Louis at the Jacobs Levy Center's 2022 Frontiers in Quantitative Finance Conference.
Led by Professors Chris Geczy, PhD, C'90 and Craig MacKinlay, PhD and established through the vision and generosity of Bruce Jacobs, PhD, G'79, GRW'86 and Ken Levy, WG'76, G'82, the Jacobs Levy Equity Management Center for Quantitative Financial Research at the Wharton School of the University of Pennsylvania is dedicated to the advancement of quantitative finance, at the intersection of theory and practice, through the creation and dissemination of innovative knowledge.