Event Archives

May 15, 2017

H29.5.12 Seminar “Residual momentum in Japan”

 We introduced professor Ghon Rhee and had a seminar entitled “Residual momentum in Japan” on May 12, 2017.(Leading Person:Professor Nobuyuki ISAGAWA)

 Professor Rhee made a presentation about “Residual momentum and investors’ under-reaction in Japanese market”. He showed that the residual momentum strategy, which is constructed to hedge out the risk exposure to the Fama-French three factors (market, size and value), is profitable in Japan for short-term holding periods in a sample period from 1975 to 2011. He explained that investors’ under-reaction in response to continuous information causes such momentum effect in Japanese markets (frog in the pan hypothesis). After his presentation, many students asked good questions and talked about the research positively.

Professor Rhee