Stanimira Milcheva to present at the ASSA Meetings in Chicago 2017
Stanimira Milcheva will present a peper entitled "Spatial Dependence and Spillover Risks in Equity Markets" at the ASSA-AREUEA Meetings in Chicago in January 2017. The paper is coauthored with Bing Zhu at the University of Cambridge and assesses the spatial linkages between companies in an asset pricing context. It explains the cross-sectional variation in return correlation by modelling the spatial comovement across returns of real estate companies in a five-factor asset pricing model. Stocks are connected using the location of their underlying assets – the properties. The authors show that the degree of spatial comovement across the underlying assets explains the variation in abnormal returns, controlling for exposure to systematic return factors, sector and geographic similarity and a range of other company characteristics. Stanimira will present in a session about Commercial Real Estate Finance on Saturday, 7th January chaired by Crocker Liu from Cornell University. Other presenters include Liang Peng from Penn State University, and researchers from Freddie Mac, the University of Wisconsin-Madison, and others. See programme details here.