【本期主题】Nonparametric Momentum Strategies
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, 2013). 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.
【报告人】 S. Ghon Rhee
【时 间】2017年5月17日 上午10:00
Dr. Rhee received his BA from Seoul National University Law School, MBA fromRutgers University, and Ph.D. from The Ohio State University. He is holding the K. J. LukeDistinguished Professor of International Banking and Finance. He served as the managingeditor of the Pacific-Basin Finance Journal from 1993-2016, a premier academic journalfocusing on Asia-Pacific capital markets and financial systems. He is currently holding anadjunct professorship at Monash University (Australia) since September 2011 and adistinguished visiting professorship at National Central University (Taiwan). He also servesas External Academic Advisor for City University of Hong Kong for a three-year period fromOctober 2014 to September 2017. He served as the president of the Asian Finance Association for a two-year period, 2014-2016. He was the founding president of the Pacific-Basin Financial Management Society, an academic association created to promote academic research on the region’s financial and capital markets. He also served as a board member of the U.S. Financial Management Association. He served as Program Chair of the Annual Pacific-Basin Finance Conferences, 1989-1997 and of the Asian Finance Association Annual Meetings, 2010-2012. He served as the chairman of the Asian Shadow Financial Regulatory Committee (ASFRC) in 2004-2007. The ASFRC is a part of the Global Shadow Financial Regulatory Committees which include the committees of United States, Europe, Japan, Latin America, Australia/New Zealand, and Asia. The ASFRC is charged to identify and analyze developing trends and ongoing events in Asia that may affect the efficiency and safe operation of financial markets and the financial services industry. ASFRC translates concepts drawn from academic research into concrete policy recommendations.
His research has been published or forthcoming in numerous academic journals,including: Journal of Finance, Review of Financial Studies, Journal of Financial andQuantitative Analysis, Journal of Banking and Finance, Journal of Corporate Finance,Journal of International Money and Finance, Journal of Financial Markets, Journal ofAccounting and Economics, Journal of Risk and Insurance, Journal of EmpiricalFinance, Journal of Financial Services Research, Journal of International Business Studies, Decision Sciences, Financial Management, etc. He has published over 90academic papers and edited or authored 18 books on Asian financial markets.