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Title

Valuation Beta: A New Asset Pricing Paradigm

Event Description

​Valuation Beta: A New Asset Pricing Paradigm

Thursday, January 14, 2021 | 3-4:00 pm CT




The legacy of asset pricing model research has been tethered to a book to price factor that ultimately conflates a number of competing themes regarding valuation, style and leverage. Out of sample studies indicate that cross-sectional returns are best explained through the inclusion of a robust measure of intrinsic value. We will discuss practical implications for investors: (1) a robust valuation factor delivers significant alpha against commonly used asset pricing models, (2) factor investing research is incomplete without exposure to valuation beta, and (3) passive strategies deliver significant negative alpha against asset pricing models that incorporate robust valuation factors.

Speaker

Derek Bergen, CFA
Partner and Quantitative Research Analyst @Applied Finance

Joined Applied Finance, 2005. Portfolio Manager and Quantitative Research Analyst. B.S. University of Wisconsin-Madison.


Event Type

Society; Career; Educational; Featured

Education Topic

 

Start Time

1/14/2021 3:00 PM

End Time

1/14/2021 4:00 PM

City

Minneapolis

State/Province

MN

Event Country

United States

Event Region

Americas

Location Info

​Online

Speaker

Derek Bergen, CFA

CE Credits

0

SER Credit

0.00

Currency

USD

Member Price

0.00

Non-Member Price

0.00

Candidate Price

0.00

Registration

Presentation

 

All Day Event

 

Recurrence

 

Event Link

Valuation Beta: A New Asset Pricing Paradigm

Event Link Leads To New Tab

Yes

Event Short Info

The legacy of asset pricing model research has been tethered to a book to price factor that ultimately conflates a number of competing themes regarding valuation, style and leverage. Out of sample studies indicate that cross-sectional returns are best explained through the inclusion of a robust measure of intrinsic value. We will discuss practical implications for investors: (1) a robust valuation factor delivers significant alpha against commonly used asset pricing models, (2) factor investing research is incomplete without exposure to valuation beta, and (3) passive strategies deliver significant negative alpha against asset pricing models that incorporate robust valuation factors.

Attachments

Content Type: MyCFA Calendar
Created at 12/31/2020 11:13 AM by assistant@cfamn.org[CASMSTS:username]
Last modified at 12/31/2020 12:15 PM by assistant@cfamn.org[CASMSTS:username]