RSSE Stephen Satchell (University of Cambridge) Style Investment and the Theory of Characteristics.

It is our pleasure that prof. Stephen E. Satchell (University of Cambridge) will present on Thursday, April 27, 2023, at 12:45 in room RB437 about his research on the topic „Style Investment and the Theory of Characteristics“.

Registration is not required and anyone who would like to attend is warmly invited.

BIO: Stephen Satchell is a fellow in economics at Trinity College, University of Cambridge. He works in the areas of financial economics and econometrics and is actively engaged with the financial community. He has published over 200 papers and supervised over 50 Ph.D. students. He has worked with energy regulators in Australia and recently was head of research at a mortgage start-up.

ABSTRACT: This paper uses the characteristics framework of Lancaster to model asset markets based on style investment. This is interesting in its own right but also because of the rise of ethical investing. We find that whether a style is directly tradable or only indirectly through taking tradable positions is a critical distinction in terms of model complexity. We derive equilibrium prices in both cases. We confirm that a hedonic pricing model for stocks is linear in style means.