Waseda Organizational and Financial Economics Seminar:
“Nonparametric momentum strategies” (May 8)
講演者 / Speaker
S. Ghon Rhee （ Professor, Shidler College of Business,University of Hawaii, USA ）
日 時 / Date & Time
Monday, 8 May 2017, 13:00 – 14:30
会 場 / Venue
主 旨 / Outline
“Nonparametric momentum strategies”
Nonparametric measures, such as rank and sign of daily returns, mitigate overreaction to extreme movements of stock prices.
As a result, nonparametric momentum strategies outperform both Jegadeesh and Titman’s (1993) price momentum and George and Hwang’s (2004) 52-week high momentum.
Nonparametric momentum profits, however, are not fully explained by common risk-based models such as the Carhart (1997) four-factor model or the macroeconomic factor model by Chen, Roll, and Ross (1986).
We demonstrate that nonparametric momentum performance is better explained by three representative behavioral dimensions: first, nonparametric momentum profits are less prominent among stocks with higher salience features; second, they are also larger among stocks that are subject to a higher degree of arbitrage risk; and third, the mispricing is more prevalent during periods of high investor sentiment.
プログラム / Schedule
13：00 Opening Remarks （Hideaki Miyajima (Waseda University)）
14：05 Question-and-answer session
14：25 Concluding Remarks（Hideaki Miyajima (Waseda University)）
対 象 / Prospected Audience
Faculty and staff members of a university, grad students, the general publics
主 催 / Organizer
Research Institute of Business Administration,Waseda University
Waseda Institute for Advanced Study,Waseda University
申込み / Registration
Free of charge.
Register your participation from here.