start-ver=1.4 cd-journal=joma no-vol=27 cd-vols= no-issue= article-no= start-page=4298 end-page=4317 dt-received= dt-revised= dt-accepted= dt-pub-year=2020 dt-pub=20201207 dt-online= en-article= kn-article= en-subject= kn-subject= en-title= kn-title=Multi‐scale inter‐temporal capital asset pricing model en-subtitle= kn-subtitle= en-abstract= kn-abstract=This study investigates the multi‐scale inter‐temporal capital asset pricing model (ICAPM). We focus upon differences across timescales since they represent heterogeneities of investors in markets. This study employs a wavelet approach to decompose return data into multiple timescales. Furthermore, we impose a same risk‐aversion parameter constraint into all portfolios, which is proposed by Engle and Bali who show that the constraint provides a reasonable equity risk premium at a daily frequency. We observe positive relations between the expected returns on portfolios and the covariance of the market at a daily frequency, while these relations change as timescales increase. We find that a negative risk?return relation, which might be related to a correction process of overreaction at an approximately weekly frequency (2?16?days). The strongest positive relation is observed at an approximately monthly frequency (16?32?days). Monthly portfolio re‐balances are widely used and might impact stock market return patterns. The equity risk premium in the longer frequency ranges from 8.64 to 11.10%. Our results are robust after controlling for macroeconomic variables, market implied volatility and test portfolios. Moreover, we investigate size and value factors and reveal that the risk premia disappear in the longer frequency, which suggests that ICAPM is satisfied. en-copyright= kn-copyright= en-aut-name=SakemotoRyuta en-aut-sei=Sakemoto en-aut-mei=Ryuta kn-aut-name= kn-aut-sei= kn-aut-mei= aut-affil-num=1 ORCID= affil-num=1 en-affil=Graduate School of Humanities and Social Sciences, Okayama University kn-affil= en-keyword=ICAPM kn-keyword=ICAPM en-keyword=investment horizon kn-keyword=investment horizon en-keyword=risk factor kn-keyword=risk factor en-keyword=risk‐aversion kn-keyword=risk‐aversion en-keyword=wavelet kn-keyword=wavelet END start-ver=1.4 cd-journal=joma no-vol=52 cd-vols= no-issue=3 article-no= start-page=75 end-page=76 dt-received= dt-revised= dt-accepted= dt-pub-year=2021 dt-pub=20210310 dt-online= en-article= kn-article= en-subject= kn-subject= en-title=L. Randall Wray 『Modern Monetary Theory; A Primer on Macroeconomics for Sovereign Monetary Systems （2nd Edition）』 kn-title=『MMT 現代貨幣理論入門』L・ランダル・レイ（著）/ 中野 剛（解説），松尾 匡（解説），島倉 原（監修，翻訳），鈴木正徳（翻訳），東洋経済新報社 en-subtitle= kn-subtitle= en-abstract= kn-abstract= en-copyright= kn-copyright= en-aut-name=SakemotoRyuta en-aut-sei=Sakemoto en-aut-mei=Ryuta kn-aut-name=酒本隆太 kn-aut-sei=酒本 kn-aut-mei=隆太 aut-affil-num=1 ORCID= affil-num=1 en-affil= kn-affil= END start-ver=1.4 cd-journal=joma no-vol=10 cd-vols= no-issue= article-no= start-page=893879 end-page= dt-received= dt-revised= dt-accepted= dt-pub-year=2022 dt-pub=20220516 dt-online= en-article= kn-article= en-subject= kn-subject= en-title= kn-title=El Nin? and Commodity Prices: New Findings From Partial Wavelet Coherence Analysis en-subtitle= kn-subtitle= en-abstract= kn-abstract=This study investigates whether the El Nino Southern Oscillation (ENSO) affects primary commodity prices over time. We employ a wavelet approach that allows us to disentangle the time and frequency domains and to uncover time-varying nonlinear relationships at different frequency levels. Moreover, we adopt partial wavelet coherence (PWC) and eliminate macroeconomic effects on commodity prices. We observe that ENSO is associated with agricultural, food, and raw material commodity prices at lower frequencies of 32-64 and 64-128 months. These results are stronger from 2000 onward, which are not observed using a conventional wavelet method. Our results suggest a recent strong relationship between ENSO and commodity prices, which has important implications for policymakers regarding climate change risk. en-copyright= kn-copyright= en-aut-name=CaiXiaojing en-aut-sei=Cai en-aut-mei=Xiaojing kn-aut-name= kn-aut-sei= kn-aut-mei= aut-affil-num=1 ORCID= en-aut-name=SakemotoRyuta en-aut-sei=Sakemoto en-aut-mei=Ryuta kn-aut-name= kn-aut-sei= kn-aut-mei= aut-affil-num=2 ORCID= affil-num=1 en-affil=Faculty of Humanities and Social Sciences, Okayama University kn-affil= affil-num=2 en-affil=Faculty of Humanities and Social Sciences, Okayama University kn-affil= en-keyword=climate risk kn-keyword=climate risk en-keyword=commodity prices kn-keyword=commodity prices en-keyword=partial wavelet coherence kn-keyword=partial wavelet coherence en-keyword=El Nino kn-keyword=El Nino en-keyword=ENSO kn-keyword=ENSO END start-ver=1.4 cd-journal=joma no-vol=52 cd-vols= no-issue=2 article-no= start-page=25 end-page=32 dt-received= dt-revised= dt-accepted= dt-pub-year=2020 dt-pub=20201106 dt-online= en-article= kn-article= en-subject= kn-subject= en-title=Recent Trends in Currency Investment kn-title=近年の通貨投資に関する研究動向 en-subtitle= kn-subtitle= en-abstract= kn-abstract=　This paper surveys the recent trends in currency investment. In particular, this paper focuses upon strategies　which employ cross-sectional information across countries. First, I introduce a carry trade that is the most popular investment strategy. Next, I explain developments of momentum and value strategies. Then, the other strategies are classifi ed into two groups. The former group exploits macroeconomic information such external debts and output growth. The latter group employs information in fi nancial markets such as term spreads and cross-sectional spot exchange rate return correlations. Finally, I describe two future research directions. en-copyright= kn-copyright= en-aut-name=SakemotoRyuta en-aut-sei=Sakemoto en-aut-mei=Ryuta kn-aut-name=酒本隆太 kn-aut-sei=酒本 kn-aut-mei=隆太 aut-affil-num=1 ORCID= affil-num=1 en-affil= kn-affil=社会文化科学研究科 END start-ver=1.4 cd-journal=joma no-vol= cd-vols= no-issue= article-no= start-page= end-page= dt-received= dt-revised= dt-accepted= dt-pub-year=2022 dt-pub=202210 dt-online= en-article= kn-article= en-subject= kn-subject= en-title= kn-title=Commodity momentum decomposition en-subtitle= kn-subtitle= en-abstract= kn-abstract=This study decomposes the momentum factor (MOM) in the commodity futures market. A high-to-price (HTP) factor generates a higher Sharpe ratio than a price-to-high (PTH) factor. We uncover that the profitability mechanisms across three momentum factors are different. The positive returns on MOM and PTH are associated with overconfidence and strong self-attribution. In contrast, HTP is linked to investors’ underreaction and the information diffusion process. Moreover, we find that positive demand shocks raise the return on HTP. en-copyright= kn-copyright= en-aut-name=IwanagaYasuhiro en-aut-sei=Iwanaga en-aut-mei=Yasuhiro kn-aut-name= kn-aut-sei= kn-aut-mei= aut-affil-num=1 ORCID= en-aut-name=SakemotoRyuta en-aut-sei=Sakemoto en-aut-mei=Ryuta kn-aut-name= kn-aut-sei= kn-aut-mei= aut-affil-num=2 ORCID= affil-num=1 en-affil=The Faculty of Economic Sciences Hiroshima Shudo University kn-affil= affil-num=2 en-affil=Faculty of Humanities and Social Sciences Okayama University kn-affil= en-keyword=commodity futures kn-keyword=commodity futures en-keyword=decomposition kn-keyword=decomposition en-keyword=momentum kn-keyword=momentum END start-ver=1.4 cd-journal=joma no-vol=74 cd-vols= no-issue= article-no= start-page=101415 end-page= dt-received= dt-revised= dt-accepted= dt-pub-year=2021 dt-pub=202109 dt-online= en-article= kn-article= en-subject= kn-subject= en-title= kn-title=The Conditional Volatility Premium on Currency Portfolios en-subtitle= kn-subtitle= en-abstract= kn-abstract=Our paper examines conditional risk-return relations in a number of currency investment strategies, while modeling economic states using a large number of underlying risk factors. We identify a time-varying relationship between currency returns and volatility risk for most currency portfolios. In particular, value and momentum portfolios present risk-return relationships which switch sign, depending upon economic states. The positive relationship for the value portfolio is associated with “flight to quality” periods and the mean reversion for nominal exchange rates during financial crises. The positive relationship for the momentum portfolio is linked to the US and global business cycles and investors require positive compensation for risk in recessions. en-copyright= kn-copyright= en-aut-name=ByrneJoseph P. en-aut-sei=Byrne en-aut-mei=Joseph P. kn-aut-name= kn-aut-sei= kn-aut-mei= aut-affil-num=1 ORCID= en-aut-name=SakemotoRyuta en-aut-sei=Sakemoto en-aut-mei=Ryuta kn-aut-name= kn-aut-sei= kn-aut-mei= aut-affil-num=2 ORCID= affil-num=1 en-affil=Edinburgh Business School (Economics), School of Social Sciences, Heriot-Watt University kn-affil= affil-num=2 en-affil=Graduate School of Humanities and Social Sciences, Okayama University kn-affil= en-keyword=Systematic Risk kn-keyword=Systematic Risk en-keyword=Currency Carry Trade kn-keyword=Currency Carry Trade en-keyword=Momentum kn-keyword=Momentum en-keyword=Value kn-keyword=Value en-keyword=Conditional Factor Model kn-keyword=Conditional Factor Model en-keyword=Currency Variability kn-keyword=Currency Variability END start-ver=1.4 cd-journal=joma no-vol=58 cd-vols= no-issue= article-no= start-page=104585 end-page= dt-received= dt-revised= dt-accepted= dt-pub-year=2023 dt-pub=202312 dt-online= en-article= kn-article= en-subject= kn-subject= en-title= kn-title=Do commodity factors work as inflation hedges and safe havens? en-subtitle= kn-subtitle= en-abstract= kn-abstract=This study investigates whether commodity futures factor portfolios work as hedges and safe havens against inflation shocks. We observe that momentum, basis momentum, and a combination of factor portfolios act as strong hedges against core inflation shocks, suggesting that holding the factor portfolios generates not only higher Sharpe ratios but also strong hedge effects against inflation. Moreover, the momentum, basis momentum, and value portfolios have weak safe haven properties against inflation shocks. In addition, our empirical results suggest that hedge effects for commodity future portfolios are stronger during the pre-financialization period. en-copyright= kn-copyright= en-aut-name=NakagawaKei en-aut-sei=Nakagawa en-aut-mei=Kei kn-aut-name= kn-aut-sei= kn-aut-mei= aut-affil-num=1 ORCID= en-aut-name=SakemotoRyuta en-aut-sei=Sakemoto en-aut-mei=Ryuta kn-aut-name= kn-aut-sei= kn-aut-mei= aut-affil-num=2 ORCID= affil-num=1 en-affil=Nomura Asset Management Co. Ltd kn-affil= affil-num=2 en-affil=Okayama University, Keio Economic Observatory, Keio University kn-affil= en-keyword=Commodity futures kn-keyword=Commodity futures en-keyword=Factor investment kn-keyword=Factor investment en-keyword=Hedgen kn-keyword=Hedgen en-keyword=Safe have kn-keyword=Safe have en-keyword=Inflation kn-keyword=Inflation END start-ver=1.4 cd-journal=joma no-vol=89 cd-vols= no-issue= article-no= start-page=101854 end-page= dt-received= dt-revised= dt-accepted= dt-pub-year=2023 dt-pub=202312 dt-online= en-article= kn-article= en-subject= kn-subject= en-title= kn-title=The long-run risk premium in the intertemporal CAPM: International evidence en-subtitle= kn-subtitle= en-abstract= kn-abstract=This study investigates whether long-run conditional covariance risk is linked to expected returns in the Intertemporal CAPM framework. We observe that the long-run value risk is positively associated with the expected returns on the global portfolios excluding the US. We also find that the long-run momentum risk is negatively related to the expected returns. In contrast, the long-run market risk is not associated with them, due to the low covariance variation across portfolios. Finally, we uncover that the long-run value premiums were strong for the global and European portfolios before the COVID-19 pandemic. en-copyright= kn-copyright= en-aut-name=SakemotoRyuta en-aut-sei=Sakemoto en-aut-mei=Ryuta kn-aut-name= kn-aut-sei= kn-aut-mei= aut-affil-num=1 ORCID= affil-num=1 en-affil=Okayama University, Okayama-ken, Japan and Keio Economic Observatory, Keio University kn-affil= en-keyword=ICAPM kn-keyword=ICAPM en-keyword=long-run risk kn-keyword=long-run risk en-keyword=value anomalies kn-keyword=value anomalies en-keyword=factor models kn-keyword=factor models en-keyword=COVID-19 kn-keyword=COVID-19 en-keyword=DCC-MIDAS kn-keyword=DCC-MIDAS END start-ver=1.4 cd-journal=joma no-vol=29 cd-vols= no-issue=10 article-no= start-page=1207 end-page=1228 dt-received= dt-revised= dt-accepted= dt-pub-year=2022 dt-pub=20220807 dt-online= en-article= kn-article= en-subject= kn-subject= en-title= kn-title=Dynamic allocations for currency investment strategies en-subtitle= kn-subtitle= en-abstract= kn-abstract=This study conducts out-of-sample tests for returns on individual currency investment strategies and the weights on the universe of these strategies. We focus upon five investment strategies: carry, momentum, value, dollar carry, and conditional FX correlation risk. The performances of our predictive models are evaluated using both statistical and economic measures. Within a dynamic asset allocation framework, an investor adjusts investment strategy weights based upon results of the prediction models. We find that our predictive model outperforms our benchmark, which uses historical average information in terms of statistical and economic measures. When the Sharpe ratio of the benchmark model is 0.52, our predictive model generates economic gain of approximately 1.16% per annum over the benchmark. These findings are robust to the changes in investors’ risk aversion and target volatility for portfolio optimization. en-copyright= kn-copyright= en-aut-name=NakagawaKei en-aut-sei=Nakagawa en-aut-mei=Kei kn-aut-name= kn-aut-sei= kn-aut-mei= aut-affil-num=1 ORCID= en-aut-name=SakemotoRyuta en-aut-sei=Sakemoto en-aut-mei=Ryuta kn-aut-name= kn-aut-sei= kn-aut-mei= aut-affil-num=2 ORCID= affil-num=1 en-affil=Innovation Lab, Nomura Asset Management Co. Ltd. kn-affil= affil-num=2 en-affil=Faculty of Humanities and Social Sciences, Okayama University kn-affil= en-keyword=Currency portfolio kn-keyword=Currency portfolio en-keyword=out-of-sample predictability kn-keyword=out-of-sample predictability en-keyword=economic value kn-keyword=economic value en-keyword=portfolio optimization kn-keyword=portfolio optimization en-keyword=risk diversification kn-keyword=risk diversification END