Professor Laurent Calvet awarded two prizes for advancing the body of knowledge for financial planning
Written on 13 Dec 2021.
Laurent Calvet, Member of EDHEC-Risk Institute and Professor of Finance at EDHEC Business School, together with co-authors Sebastien Betermier (McGill University), Samuli Knüpfer (BI Business School) and Jens Kvaerner (Tilburg University), has been awarded two prizes for the paper "What do the portfolios of individual investors reveal about the cross-section of equity returns?".
On November 23, they received the 2021 Morgan Stanley Best Paper Award in Investments at the annual Academic Research Colloquium for Financial Planning and Related Disciplines.
Their paper « is a model for future research in financial planning with implications that will impact financial planning practice » says Dr. Charles R. Chaffin, Director of Academic Initiatives, CFP Board Center for Financial Planning, Executive Editor, Financial Planning Review, and Certified Financial Planner Board of Standards, Inc.
The Colloquium is an international meeting of researchers, practitioners, graduate students and leaders of the financial planning practice. It brings renowned researchers from around the world to present their work on investments, psychology, behavioral finance and other financial planning-related fields to both scholars and practitioners.
Find further information about the recipients of the 2021 Best Paper Awards.
They also received the Best Paper Award on Asset Pricing at the 2021 conference of the Northern Finance Association.
In the winning paper, authors construct a parsimonious set of equity factors by sorting stocks according to the sociodemographic characteristics of the individual investors who own them. The analysis uses administrative data on the stockholdings of Norwegian investors in 1997-2018. Consistent with financial theory, a mature-minus-young factor, a high wealth-minus-low wealth factor, and the market factor price stock returns. Their three factors span size, value, investment, profitability, and momentum, and perform well in out-of-sample bootstrap tests. The tilts of investor portfolios toward the new factors are driven by wealth, indebtedness, macroeconomic exposure, age, gender, education, and investment experience. The results are consistent with hedging and sentiment jointly driving portfolio decisions and equity premia.
“The stock portfolios of retail investors, sorted by age or by net wealth, provide powerful factors for pricing stocks.” says Laurent Calvet, Member of EDHEC-Risk Institute and Professor of Finance at EDHEC Business School
#FactorBasedInvesting #HouseholdFinance
Professor Laurent E. Calvet is a specialist in asset pricing, household finance, and volatility modelling. Teaching in the PhD in Finance and the MSc (Finance Track) programmes at EDHEC, Laurent Calvet also serves as dissertation advisor for several PhD candidates. He has served as the John Loeb Professor of the Social Sciences at Harvard University, was research professor at HEC, and a Professor and Chair in Finance at Imperial College London. Together with Adlai Fisher, he pioneered the Markov-switching multifractal model of financial volatility, which is used by academics and financial practitioners to forecast volatility, compute value-at-risk, and price derivatives. He is a Research Associate of Goethe University Frankfurt’s Center for Financial Studies, a Founding Member of the CEPR Household Finance Network, and an editorial board member of several academic journals, including Journal of Fractal Geometry. He is an engineering graduate from Ecole Polytechnique and Ecole Nationale des Ponts et Chaussée in Paris and holds a Ph.D. in Economics from Yale University.
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
