讲座人：Ghon Rhee 教授

讲座主题：Nonparametric Momentum Strategies

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.

讲座时间：2017年5月15日，周一，14:00开始

讲座地点：公司南路学术会堂706

讲座人简介：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。Rhee教授的研究兴趣非常广泛，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 Accounting and Economics, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Journal of Corporate Finance, Journal of Risk and Insurance, Journal of Empirical Finance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。