RIEBセミナー(TJAR Workshop共催) RIEB Seminar (Jointly supported by: TJAR Workshop)

日時 2017年5月10日(水)午後3時00分から
会場 神戸大学経済経営研究所 会議室(新館2階)
対象 教員、院生、および同等の知識をお持ちの方
使用言語 英語
備考 論文のコピーは共同研究推進室にご用意いたします。


報告者 S. Ghon RHEE
所属 ハワイ大学マノア校シャイドラー・カレッジ・オブ・ビジネス
論題 Nonparametric Momentum Strategies
要旨 Nonparametric measures, such as rank and sign of daily returns, capture investor underreaction while mitigating overreaction to extreme movements of stock prices. Alternative momentum strategies formed on the basis of such measures, or nonparametric momentum strategies, outperform both Jegadeesh and Titman's (1993) price momentum and George and Hwang's (2004) 52-week high momentum, and exhibit no long-term return reversals. The profits, however, are not fully explained by common risk-based asset pricing models, and exhibit patterns consistent with the salience theory proposed by Bordallo, Gennaioli, Shleifer (2012). In particular, the nonparametric momentum, in conjunction with the 52-week high momentum, fully explains the price momentum, thus suggesting that the price momentum is driven by investor underreaction rather than continued overreaction.