📢 The iCEBDA Econometric seminar

Join us on March 23, 2026 at 12:00 noon (Moscow time, online via Zoom) for a research seminar by

🎓 Lorenzo Trapani — University of Pavia

Talk: "A general randomized test for Alpha"

This seminar introduces a novel methodology for testing the null hypothesis of zero alphas (jointly zero pricing errors) in linear factor asset pricing models with observable and tradable factors. The proposed randomized test requires no covariance matrix estimation, accommodates strong cross-sectional dependence, and handles panels where the number of assets N may grow faster than the time periods T. The procedure is robust to conditional heteroskedasticity and non-Gaussian distributions. The empirical application illustrates the testing approach using linear factor models for S&P 500 constituents.


🔗 Register here: https://economics.hse.ru/bigdata/seminars