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UID:20260215T023728EST-1602umGvCW@132.216.98.100
DTSTAMP:20260215T073728Z
DESCRIPTION:Rong Wang\n\nDuke University \n\nResolving the Zero-Beta Rate P
 uzzle \n\nDate: Wednesday\, January 28\, 2026\n	Time: 11:30 am - 1:00 pm\n	L
 ocation: Bronfman building\, Room 301\n\nAll are cordially invited to atte
 nd.\n\n\nAbstract\n\nThis paper resolves a long-standing zero-beta rate pu
 zzle—the empirical finding that estimated zero-beta rates remain persisten
 tly high across factor models. I show that this apparent robustness arises
  from pervasive model misspecification rather than reflecting a genuinely 
 high risk-free rate. When a factor model fails to perfectly price assets\,
  the zero-beta rate is no longer uniquely identified\, and the standard es
 timator—based on the minimum-variance zero-beta portfolio—converges toward
  the mean return of the global minimum-variance portfolio as model misspec
 ification increases. To quantify this mechanism\, I introduce a new invest
 ment-based measure of model misspecification: the maximum Sharpe ratio att
 ainable by zero-investment\, zero-beta portfolios. This measure captures t
 he economic magnitude of pricing errors and links model misspecification t
 o empirically observable investment opportunities. Studying a comprehensiv
 e set of classical and modern factor models\, I find substantial misspecif
 ication\, explaining why all models yield similarly elevated zero-beta rat
 es. Simulation analyses confirm that realistic degrees of misspecification
  can fully reproduce the empirical magnitude of the puzzle even when the t
 rue risk-free rate is low.\n
DTSTART:20260128T163000Z
DTEND:20260128T180000Z
LOCATION:Room 301\, Bronfman Building\, CA\, QC\, Montreal\, H3A 1G5\, 1001
  rue Sherbrooke Ouest
SUMMARY:[CANCELLED] Finance Area Seminar: Rong Wang
URL:/desautels/channels/event/cancelled-finance-area-s
 eminar-rong-wang-370575
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