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第71期公司财务与金融市场学术论坛 浏览量 223 [ ...

来源:南开大学商学院 | 2017-05-20 | 发布:经管之家


第71期公司财务与金融市场学术论坛

浏览次数: 223
更新时间: 2017年05月17日
时间:2017年5月24日下午3:00-4:30

地点:南开大学商学院A602

报告题目:

Nonparametric Momentum Strategies

(非参数动量策略研究)

报告人:Ghon Rhee 教授

现为美国University of Hawai’i 的Shidler商学院金融学杰出教授,澳大利亚Monash University兼职教授;先后毕业于美国Ohio State University(金融学博士)、美国Rutgers University(工商管理硕士)、韩国Seoul National University(法学学士);是Pacific-Basin Financial Management Society的创始主席,1993-2016年期间担任Pacific-Basin Finance Journal的责任编辑;曾在Journal of Finance、Review of Financial Studies、Journal of Financial and Quantitative Analysis等美国顶尖金融学杂志上发表学术论文数十篇。

主持人:覃家琦 教授

评论人:孙凌霞 助理教授

主办方:财务管理系

论文摘要:

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, fully explains the price momentum, thus suggesting that the price momentum is driven by investor underreaction rather than continued overreaction.




时间:2017年5月24日下午3:00-4:30

地点:南开大学商学院A602

报告题目:

Nonparametric Momentum Strategies

(非参数动量策略研究)

报告人:Ghon Rhee 教授

现为美国University of Hawai’i 的Shidler商学院金融学杰出教授,澳大利亚Monash University兼职教授;先后毕业于美国Ohio State University(金融学博士)、美国Rutgers University(工商管理硕士)、韩国Seoul National University(法学学士);是Pacific-Basin Financial Management Society的创始主席,1993-2016年期间担任Pacific-Basin Finance Journal的责任编辑;曾在Journal of Finance、Review of Financial Studies、Journal of Financial and Quantitative Analysis等美国顶尖金融学杂志上发表学术论文数十篇。

主持人:覃家琦 教授

评论人:孙凌霞 助理教授

主办方:财务管理系

论文摘要:

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, fully explains the price momentum, thus suggesting that the price momentum is driven by investor underreaction rather than continued overreaction.



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