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2017/5月 17

财务与金融系第七十二期“金融高端论坛”

财务与金融系第七十二期“金融高端论坛”
开始时间:2017-05-17 10:00
活动地点:明德主楼509室
联 系 人:
联系方式:
状态: 已结束

主  题: Nonparametric Momentum Strategies(非参数动量策略)

主讲人: S. Ghon Rhee

协调人:姜付秀

语  言:英语

讲座摘要:

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.

主讲人简介:

Dr. Rhee received his BA from Seoul National University Law School, MBA from Rutgers University, and Ph.D. from The Ohio State University. He is holding the K. J. Luke Distinguished Professor of International Banking and Finance. He served as the managing editor of the Pacific-Basin Finance Journal from 1993-2016, a premier academic journal focusing on Asia-Pacific capital markets and financial systems. He is currently holding an adjunct professorship at Monash University (Australia) since September 2011 and a distinguished visiting professorship at National Central University (Taiwan). He also serves as External Academic Advisor for City University of Hong Kong for a three-year period from October 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 and Quantitative Analysis, Journal of Banking and Finance, Journal of Corporate Finance, Journal of International Money and Finance, Journal of Financial Markets, Journal of Accounting and Economics, Journal of Risk and Insurance, Journal of Empirical Finance, Journal of Financial Services Research, Journal of International Business 

Studies, Decision Sciences, Financial Management, etc. He has published over 90 academic papers and edited or authored 18 books on Asian financial markets. 

 

 

中国人民大学金融高端论坛组委会

商学院财务与金融系

财政金融学院应用金融系

汉青经济与金融高级研究院金融系