Rchr
J-GLOBAL ID：202001001384298012
Update date: Apr. 08, 2024
Sakemoto Ryuta
サケモト リュウタ | Sakemoto Ryuta
Affiliation and department：
Job title：
Associate Professor
Research field (1)：
Money and finance
Research keywords (8)：
Risk Factor
, Currency Portfolio
, Commodity Price
, Carry Trade
, Market Co-movement
, Market Uncertainty
, Time-varying model
, Factor Model
Research theme for competitive and other funds (2)：
- 2022 - 2024 Macroeconomic conditions and risk management for portfolios
- 2020 - 2022 金融市場におけるリスク・リターンの研究
Papers (25)：
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Ryuta Sakemoto. The long-run risk premium in the intertemporal CAPM: International evidence. Journal of International Financial Markets, Institutions and Money. 2023. 89. 101854-101854
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Kei Nakagawa, Ryuta Sakemoto. Do commodity factors work as inflation hedges and safe havens?. Finance Research Letters. 2023. 104585-104585
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Kei Nakagawa, Ryuta Sakemoto. Dynamic allocations for currency investment strategies. The European Journal of Finance. 2023. 1-22
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Kei Nakagawa, Ryuta Sakemoto. Macro Factors in the returns on Cryptocurrencies. Applied Finance Letters,. 2023. 11. 146-158
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Yasuhiro Iwanaga, Ryuta Sakemoto. Commodity momentum decomposition. Journal of Futures Markets. 2022. 43. 2. 1-19
ｍore...
MISC (11)：
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Kei Nakagawa, Ryuta Sakemoto. Commodity Sectors and Factor Investment Strategies. SSRN Electronic Journal. 2024
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Hiroaki Shirokawa, Kohei Yamaguchi, Takahiro Obata, Ryuta Sakemoto. Term Structures of Volatility Risk Premiums in the USD Interest Rate Swaption Market During the Unconventional Monetary Policy and Pandemic Eras. SSRN Electronic Journal. 2024
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Yasuhiro Iwanaga, Ryuta Sakemoto. Cross-momentum strategies in the equity futures and currency markets. SSRN Electronic Journal. 2023
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Takao Asano, Xiaojing Cai, Ryuta Sakemoto. Time-Varying Ambiguity Shocks and Business Cycles. SSRN Electronic Journal. 2023
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Ryuta Sakemoto. Risk Premium Decomposition and the Output Gap. SSRN Electronic Journal. 2023
ｍore...
Lectures and oral presentations (24)：
-
通貨市場におけるクロスセクション・シグナルの利用
(東京ファイナンスフォーラム 第37回研究会(東京都立大学) 2024)
-
Conditional currency momentum portfolios
(2023)
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The Long-run Risk Premium in the ICAPM: International Evidence
(2023)
-
Conditional Currency Momentum Portfolios
(The NFA 31st Annual Conference 2023)
-
Time-varying factor comovements and business cycles
(Waseda Workshop on Economics of Uncertainty and its Related Field 2023)
ｍore...
Education (5)：
- 2014 - 2017 Heriot-Watt University School of Social Science Economics
- 2013 - 2014 University of Exeter Business School Economics and Econometrics
- 2011 - 2013 University of Tsukuba Graduate School of Business Sciences
- 2007 - 2009 The University of Tokyo Public Policy School Economic Policy
- 2003 - 2007 Keio University Faculty of Business and Commerce
Professional career (1)：
- Ph.D. in Economics (Heriot-Watt University)
Work history (4)：
- 2024/04 - 現在 Hokkaido University Graduate School of Economics and Business Administration Division of Accounting Associate Professor
- 2020/04 - 2024/03 Okayama University Graduate School of Humanities and Social Sciences Associate Professor
- 2018/01 - 2020/03 YJFX, Inc
- 2009/04 - 2013/08 Daiwa SB Investments Ltd. Tokyo
Awards (3)：
- 2020/04 - The Japanese Association of Financial Econometrics and Engineering 2019 JAFEE Best Paper Award for Young Researchers Direct Estimation of Lead-Lag Relationships Using Multinomial Dynamic Time Warping
- 2015/01 - University of Exeter Exeter Business School Dean’s Commendation
- 2009/03 - University of Tokyo, Graduate School of Public Policy Master in Public Policy with Distinction
Association Membership(s) (4)：
European Finance Association
, Financial Management Association
, 日本金融・証券計量・工学学会
, 日本ファイナンス学会
