Rm. 1105 on the 11th floor, Building #11, Waseda University<\/a>![\"PDF\u30d5\u30a1\u30a4\u30eb\u3092\u958b\u304d\u307e\u3059\"](\"http:\/\/www.waseda.jp\/wias\/common\/images\/mod_ico_pdf_01.gif\")
<\/p>\n\u4e3b\u3000\u65e8 \/\u00a0 Outline<\/h5>\n
“Nonparametric momentum strategies”<\/p>\n
Nonparametric measures, such as rank and sign of daily returns, mitigate overreaction to extreme movements of stock prices.
\nAs a result, nonparametric momentum strategies outperform both Jegadeesh and Titman\u2019s (1993) price momentum and George and Hwang\u2019s (2004) 52-week high momentum.
\nNonparametric 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).
\nWe 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.<\/p>\n
\u30d7\u30ed\u30b0\u30e9\u30e0\u00a0\/ Schedule<\/h5>\n
13\uff1a00 Opening Remarks \uff08Hideaki Miyajima (Waseda University)\uff09
\n13\uff1a05 Presentation
\n14\uff1a05 Question-and-answer session
\n14\uff1a25 Concluding Remarks\uff08Hideaki Miyajima (Waseda University)\uff09<\/p>\n
\u5bfe\u3000\u8c61\u00a0\/ Prospected Audience<\/h5>\n
Faculty and staff members of a university, grad students, the general publics<\/p>\n
\u4e3b\u3000\u50ac \/\u00a0 Organizer<\/h5>\n
Research Institute of Business Administration,Waseda University
\nWaseda Institute for Advanced Study,Waseda University<\/p>\n
\u7533\u8fbc\u307f\u00a0\/ Registration<\/h5>\n
Free of charge.
\nRegister your participation from here.<\/p>\n","protected":false},"excerpt":{"rendered":"
Waseda Organizational and Financial Economics Seminar: “Nonparametric momentum strategies” (May 8) […]<\/p>\n","protected":false},"author":6,"featured_media":2762,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[95],"tags":[82,94,73],"class_list":["post-4260","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-news-en","tag-events-en","tag-general-en","tag-research-en"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts\/4260","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/users\/6"}],"replies":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/comments?post=4260"}],"version-history":[{"count":0,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/posts\/4260\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/media\/2762"}],"wp:attachment":[{"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/media?parent=4260"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/categories?post=4260"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.waseda.jp\/inst\/wias\/wp-json\/wp\/v2\/tags?post=4260"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}