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 characteristics-managed 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 explains 62.4% of the variation in 100 factors, whereas an 88-factor model using equity returns explains only 38.6%. In the out-of-sample, the asset-based implied mean-variance-efficient (MVE) portfolio achieves a Sharpe ratio of 1.2, compared to 0.75 for its equity-based counterpart. The parsimonious asset-based model explains equity returns better than the equity-based model, as it reduces the number of equity anomalies to 15, compared to 23 for the latter. The non-linear transformation of returns caused by leverage increases the loadings of firms with high leverage on the equity-based factors, exposes these factors to firm-level systematic risks that would not arise in asset-based factors, and contributes to the factor zoo.