Waseda Organizational and Financial Economics Seminar:
“Nonparametric momentum strategies” (5/8)
講演者 / Speaker
S. Ghon Rhee 
（ Professor, Shidler College of Business,University of Hawaii, USA ）
日 時 / Date & Time
2017年5月8日（月）13:00 ～ 14:30
会 場 / Venue
早稲田大学 早稲田キャンパス 11号館 11階 1105教室
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 開会の挨拶（宮島 英昭 早稲田大学 高等研究所長 ／ 商学学術院 教授）
13：05 講演
14：05 質疑応答
14：25 閉会の挨拶（宮島 英昭）
対 象 / Prospected Audience
学部生・大学院生・研究者・教職員 等
主 催 / Organizer
早稲田大学 産業経営研究所
早稲田大学 高等研究所
申込み / Registration
事前申込み不要です。直接会場にお越しください。
