主讲人Speaker: 钟卓     副教授      澳大利亚墨尔本大学

时间Date & Time: 2025年12月23日（周二），15:00--16:30

地点Venue:粤海校区汇星楼565会议室

内容简介/ Abstract:

Across 13 international equity markets, we find substantial heterogeneity in the sparsity of the pricing kernel. In some markets, latent factors from large-cap stocks form a sparse structure that prices cross-sectional returns well; in others, this structure breaks down once small-cap stocks are included, and small-cap-specific latent factors only partially restore pricing. These weak-in-largecap but meaningful small-cap risks help explain mutual fund return differentials in those markets. We also find that nonlinear machine-learning models outperform linear methods in markets where sparsity varies in segments. Overall, segment-dependent factor structures are common and economically important.

主讲人介绍/Biography of the speaker：

钟卓，墨尔本大学金融系副教授。2005年毕业于厦门大学金融系，获经济学学士。2006-2007 年入选厦门大学/新加坡管理大学联合培养硕士项目，毕业后留学美国康奈尔大学，并于 2014 年获得经济学博士学位。钟博士的主要研究领域为市场微观结构与资产定价。其论文发表于 Journal of Financial Economics，Review of Financial Studies 等金融学领域国际顶尖学术期刊；并多次于金融学国际顶级会议（AFA，WFA）宣读论文。研究成果获 2017 年 Northern Finance Association 年会最佳论文奖。