Waseda Institute for Advanced Study (WIAS)Waseda University


Waseda Organizational and Financial Economics Seminar: “Nonparametric momentum strategies” (May 8)

Waseda Organizational and Financial Economics Seminar:
“Nonparametric momentum strategies” (May 8)

講演者 /  Speaker

S. Ghon Rhee PDFファイルを開きます( Professor, Shidler College of Business,University of Hawaii, USA )

日 時 / Date & Time

Monday, 8 May 2017, 13:00 – 14:30

会 場 /  Venue

Rm. 1105 on the 11th floor, Building #11, Waseda UniversityPDFファイルを開きます

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))
13:05 Presentation
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.

  • 0508



Rm. 1105 on the 11th floor, Building #11, Waseda University


Wed, 26 Apr 2017

Page Top
WASEDA University

The Waseda University official website
<<https://www.waseda.jp/inst/wias/en/>> doesn't support your system.

Please update to the newest version of your browser and try again.


Suporrted Browser