Seminar Information
．Speaker: Prof. Ji-Chai Lin (National Central University)
．Time: Friday, Sep 19, 2025, 10:30 am – 12:00 pm (GMT+8)
．Venue: Room 405, Building 1, College of Management
．Topic: Interconnected Anomalies: How Intercorrelations Influence Risks and Return Processes

．Abstract:

We investigate how intercorrelations among documented asset pricing anomalies shape their risks and return processes. Intercorrelations capture how Shocks are transmitted and amplified through anomalies. Despite extensive literature examining anomalies, scant attention has been paid to how anomalies' interconnectedness impacts their risks. Using Knowledge Graph methodology, we map anomalies' interdependencies (conditional on the presence of all anomalies) and derive their network centralities. We show that anomalies' q-factor alphas rise with centrality, indicating risk underestimation for central anomalies. Furthermore, central anomalies exhibit higher systematic risk, and their centralities are priced as integral components of risks. Our findings highlight the importance of integrating network effects into asset pricing frameworks.