Talk by Dr. Sourish Das at ISI, Chennai at 11:45 am on Tuesday, 28th January 2014

[announ...@isichennai.res.in]

Speaker : Dr. Sourish Das, Assistant Professor, Chennai Mathematical
Institute

Date : January 28th, Tuesday

Time : 11:45 am - 12:45 pm

Venue : Indian Statistical Institute (ISI), Chennai Centre
SETS (Society for Electronic Transactions and Security),
MGR Knowledge City, CIT Campus, Taramani.
(Landmark: Near IITM Research Park/ Ginger Hotel)

Title : Some Perspective on Efficient Market Hypothesis and Multiple
Testing Problem

Abstract: Eugene Fama (1960s) in his PhD thesis developed the concept of
“Efficient Market Hypothesis (EMH). According to EMH, financial market is
“information-efficient”. This results the price of stock to behave like
random-walk. In consequence of this, one cannot consistently achieve return
in excess of average market return on risk-adjusted basis. However, by
late 1990 and early 2000s many empirical studies shown that EMH is not
necessarily true. If EMH is true then all the assets in market are always
fairly priced; otherwise assets are either under or overpriced. This turns
out to be a testing of hypothesis problem, where null hypothesis is EMH is
true or assets are fairly priced versus alternative hypothesis as EMH is
false or assets are either over/under-priced. As there are thousands of
assets, this problem turns out to be a multiple testing problem.

In this talk we will walk through the concepts of EMH, Capital Asset
Pricing Model (CAPM) and multiple testing problems. Then I will present
Bayesian multiple testing with diffused prior for CAPM for 500 stocks that
are considered in S&P 500 index. We present the back-testing (aka
out-of-sample performance) of the method for the period from 2008 to 2013.

Note: This is a joint work with Dr. Ananya Lahiri and Dr. Rituparna Sen

Tea/snacks will be served before the talk (11.30 am)

Please forward this notice to anyone who you think may be interested.

Best Regards,
Seminar Coordinator.