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Cesare Robotti
Bio sketch: Cesare Robotti is a financial economist with the financial group of the research department of the Federal Reserve Bank of Atlanta. Dr Robotti concentrates his research on empirical asset pricing and portfolio management.
Before joining the Bank in 2001, Dr Robotti was a teaching fellow at Boston College and an adjunct faculty member at Brandeis University. He has also worked in the dealing room of Novara International Bank in Luxembourg and as a financial analyst at Cariplo Bank in Milan, Italy.
He has published works in the Journal of Finance, the Review of Financial Studies, the Journal of Econometrics, the Journal of Business and Economic Statistics, and the Journal of Empirical Finance, and has presented his research at a number of professional conferences and academic institutions. He received a bachelor’s degree in economic and social sciences and a master’s of science in economics from L. Bocconi University of Milan. He earned a master’s degree and his doctorate in economics from Boston College
Abstract: Many asset pricing models include risk factors that are only weakly correlated with the asset returns. We show that in the presence of a factor that is independent of the returns (“useless factor”), the standard inference procedures for evaluating its pricing ability could be highly misleading in misspecified models. Our proposed model selection procedure, which is robust to useless factors and potential model misspecification, restores the standard inference and proves to be effective in eliminating factors that do not improve the model’s pricing ability. The practical relevance of our analysis is illustrated using simulations and an empirical application.
For more information about the speaker please visit his web site