主题： Nonparametric Momentum Strategies

　　报告人：Ghon Rhee教授

　　时间：12月18日周一上午8:30-10:30

　　地点：松江校区图书馆第三会议室

　　报告人简介：

　　Ghon Rhee教授现任职于University of Hawaii，任K. J. Luke Distinguished Professor of International Banking and Finance，在1993-2016年期间担任Pacific-Basin Finance Journal (PBFJ) 主编，PBFJ是一本关注亚太资本市场和金融体系的学术期刊，在2014-2016年期间担任亚洲金融学年会主席。Rhee教授的研究成果丰硕，迄今已在国际知名的金融学和财务学等期刊发表了90余篇论文，包括Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Accounting and Economics,  Journal of Banking and Finance, Journal of International Money and Finance, Journal of Financial Markets, Journal of Risk and Insurance等，此外，Rhee教授还出版了近二十部关于亚洲金融市场方面的专著。

　　报告摘要：

　　Nonparametric measures, such as the 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, subsumes the price momentum, thus suggesting that the price momentum is driven by investor underreaction rather than continued overreaction.

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