Elsevier BVActa Medica Okayama1042-4431892023The long-run risk premium in the intertemporal CAPM: International evidence101854ENRyutaSakemotoOkayama University, Okayama-ken, Japan and Keio Economic Observatory, Keio UniversityThis 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.No potential conflict of interest relevant to this article was reported.Elsevier BVActa Medica Okayama1544-6123582023Do commodity factors work as inflation hedges and safe havens?104585ENKeiNakagawaNomura Asset Management Co. LtdRyutaSakemotoOkayama University, Keio Economic Observatory, Keio UniversityThis 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.No potential conflict of interest relevant to this article was reported.WileyActa Medica Okayama0270-73144322022Commodity momentum decomposition198216ENYasuhiroIwanagaThe Faculty of Economic Sciences, Hiroshima Shudo UniversityRyutaSakemotoFaculty of Humanities and Social Sciences, Okayama UniversityThis 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.No potential conflict of interest relevant to this article was reported.Informa UK LimitedActa Medica Okayama1351-847X29102022Dynamic allocations for currency investment strategies12071228ENKeiNakagawaInnovation Lab, Nomura Asset Management Co. Ltd.RyutaSakemotoFaculty of Humanities and Social Sciences, Okayama UniversityThis 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.No potential conflict of interest relevant to this article was reported.Frontiers Media SAActa Medica Okayama2296-665X102022El Ninõ and Commodity Prices: New Findings From Partial Wavelet Coherence Analysis893879ENXiaojingCaiFaculty of Humanities and Social Sciences, Okayama UniversityRyutaSakemotoFaculty of Humanities and Social Sciences, Okayama UniversityThis 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.No potential conflict of interest relevant to this article was reported.ElsevierActa Medica Okayama1042-4431742021The Conditional Volatility Premium on Currency Portfolios101415ENJoseph P.ByrneEdinburgh Business School (Economics), School of Social Sciences, Heriot-Watt UniversityRyutaSakemotoGraduate School of Humanities and Social Sciences, Okayama UniversityOur 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.No potential conflict of interest relevant to this article was reported.岡山大学経済学会Acta Medica Okayama2433-41465232021『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7576ENRyutaSakemoto10.18926/OER/61454No potential conflict of interest relevant to this article was reported.WileyActa Medica Okayama1076-9307272020Multi‐scale inter‐temporal capital asset pricing model42984317ENRyutaSakemotoGraduate School of Humanities and Social Sciences, Okayama UniversityThis 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.No potential conflict of interest relevant to this article was reported.岡山大学経済学会Acta Medica Okayama2433-41465222020近年の通貨投資に関する研究動向2532ENRyutaSakemoto10.18926/OER/60794 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.No potential conflict of interest relevant to this article was reported.