Title: Common Risk Factors in the Returns on Stocks, Bonds (and Options), Redux

Speaker: Xiaoliang Wang, Assistant Professor, The Hong Kong University of Science and Technology

Host: Xiangwei Wan, Associate Professor, Antai College of Economics and Management, Shanghai Jiao Tong University

Time: 13:30–15:00, Wednesday, May 27, 2026

Venue: Room 306, Haoran Building, Antai College, Xuhui Campus, Shanghai Jiao Tong University

Brief introduction of the content: 

We identify a strong common risk factor structure that is pervasive across corporate securities: stocks, corporate bonds, and options.  The factors largely capture cross-market commonality, which are highly related to observable factors and key economic indicators. The substantial variation in individual asset returns is explained by common factors, although pricing errors persist. We construct a joint mean-variance efficient portfolio across markets, achieving a high Sharpe ratio resulting from the cross-market hedging against common factors. We demonstrate that market segmentation can be measured by the differences in common factor risk premia between  markets and further document the significant extent of segmentation.

Speaker's profile:

Xiaoliang Wang am an Assistant Professor of Finance at HKUST Business School.  His research areas area: Asset Pricing, International & Macro finance, Monetary & Fiscal Policy and Econometrics. He is also a member of the Macro Finance Society.

Welcome all !