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主讲人 |
S. Ghon Rhee |
简介 |
<p>We document that the residual momentum strategy, which is constructed to hedge out the risk exposure to the Fama-French factors, is profitable in Japan for short-term holding periods. Residual momentum profits over long-term holding periods are insignificant but do not reverse, unlike traditional total return momentum strategies observed in the U.S. market. The findings in both short- and long-term holding periods are attributed to investor underreaction. The role of investor underreaction remains robust to the control of the confounding variables (such as institutional ownership, idiosyncratic volatilities, and firm age) that are known to lead investor limited attention.</p> |
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主讲人简介 |
<div>K. J. Luke Distinguished Professor of International Banking and Finance, Shidler College of Business, University of Hawai’i</div>
<div> </div>
<div><a href="/Upload/File/2016/12/20161212090721683.pdf"><strong><span style="color: rgb(0, 0, 255);"><u>Prof. S. Ghon Rhee's CV</u></span></strong></a></div>
<p> </p> |
期数 |
厦门大学金融经济学系列讲座2016秋季学期第八讲 （总第27讲）暨厦门大学南强学术讲座第805期 |
