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Sakemoto Ryuta
| Faculty of Economics and Business Accounting Accounting | Associate Professor |
Researcher basic information
■ Degree■ URL
researchmap URLホームページURL■ Various IDs
Researcher number
- 50880275
Research Keyword
- Risk Factor
- Currency Portfolio
- Commodity Price
- Carry Trade
- Market Co-movement
- Market Uncertainty
- Time-varying model
- Factor Model
- Bachelor's degree program, School of Economics and Business
- Doctoral (PhD) degree program, Graduate School of Economics and Business
- Professional degree program, Graduate School of Economics and Business
Career
■ CareerCareer
- Apr. 2026 - Present
Hokkaido University, Executive Assistant to the President, Japan - Jun. 2025 - Present
Mitsubishi UFJ Trust Investment Technology Institute Co., Ltd., Technical advisor - Apr. 2024 - Present
Hokkaido University, Graduate School of Economics and Business Administration Division of Accounting, Associate Professor, Japan - Feb. 2021 - Feb. 2025
Nomura Asset Management Co., Ltd., Technical advisor - Apr. 2020 - Mar. 2024
Okayama University, Graduate School of Humanities and Social Sciences, Associate Professor, Japan - Mar. 2023 - Jan. 2024
Asset Management One Co., Ltd, Technical advisor - Apr. 2020 - Dec. 2023
GMO Gaika, Inc, Technical advisor - Sep. 2019 - Mar. 2020
University of Tsukuba, システム情報工学科, Part-time Lecturer - Jan. 2018 - Mar. 2020
YJFX, Inc - Apr. 2009 - Aug. 2013
Daiwa SB Investments Ltd. Tokyo, Japan
- Sep. 2014 - Oct. 2017, Heriot-Watt University, School of Social Science, Economics, United Kingdom
- Sep. 2013 - Aug. 2014, University of Exeter, Business School, Economics and Econometrics, United Kingdom
- Apr. 2011 - Mar. 2013, University of Tsukuba, Graduate School of Business Sciences, 経営システムコース, Japan
- Apr. 2007 - Mar. 2009, The University of Tokyo, Public Policy School, Economic Policy, Japan
- Apr. 2003 - Mar. 2007, Keio University, Faculty of Business and Commerce
Research activity information
■ Awards- Apr. 2026, Japan Society of Monetary Economics, Japan Society of Monetary Economics LSEG Young Researcher Award
Ryuta Sakemoto - Apr. 2020, 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 - Jan. 2015, University of Exeter, Exeter Business School Dean’s Commendation
- Does high-frequency consumption data predict equity risk premiums?
Yutaka Miyashita; Ryuta Sakemoto; Yuhki Yamamoto
Finance Research Letters, 110455, 110455, Elsevier BV, Oct. 2026, [Peer-reviewed], [International Magazine]
Scientific journal, 46428138 - New behaviorally-based cross-sectional reversal portfolios in the cryptocurrency market and market uncertainty
Kei Nakagawa; Ryuta Sakemoto
Finance Research Letters, 85, 107800, 107800, Nov. 2025, [Peer-reviewed], [International Magazine]
Scientific journal, 46428138;36824722 - Global foreign exchange volatility, ambiguity, and currency carry trades
Takao Asano; Xiaojing Cai; Ryuta Sakemoto
Journal of Banking & Finance, 178, 107508, 107508, Elsevier BV, Sep. 2025, [Peer-reviewed], [International Magazine]
Scientific journal, 46428138;36824722 - Prices of Risk Estimation for Commodity Factors
Kei Nakagawa; Ryuta Sakemoto
Journal of Futures Markets, Wiley, 22 Aug. 2025, [Peer-reviewed], [International Magazine]
Scientific journal, ABSTRACT
This study investigates the prices of risk in cross‐sectional commodity futures portfolios using a three‐pass regression approach that is robust to model specification. We find that the prices of risk for commodity basis and value factors are important, with values of 1.2% and 2.0% per month, respectively. Moreover, we observe that the commodity factors do not price cross‐sectional equity portfolios, resulting in a combination of the equity market and commodity factor portfolios achieving a high Sharpe ratio. Additionally, we demonstrate that the equity market factor has recently become more strongly associated with the cross‐sectional commodity futures portfolios, suggesting the effects of financialization., 46428138 - Commodity correlation risk
Joseph P. Byrne; Ryuta Sakemoto
Journal of Commodity Markets, 38, 100473, 100473, Elsevier BV, Jun. 2025, [Peer-reviewed], ［Internationally co-authored］, [International Magazine]
Scientific journal, 36824722;30804305 - Time‐varying group common factors in the stock market anomalies
Ryuta Sakemoto
Financial Review, May 2025, [Peer-reviewed], [International Magazine]
English, Scientific journal, 46428138;36824722 - Stochastic ESG scores and nonpecuniary ESG preferences: An extension to CAPM
Kei Nakagawa; Keisuke Morita; Ryuta Sakemoto
Finance Research Letters, 79, 107179, 107179, Elsevier BV, Mar. 2025, [Peer-reviewed], [International Magazine]
Scientific journal, 46428138 - Conditional currency momentum portfolios
Yasuhiro Iwanaga; Ryuta Sakemoto
International Review of Financial Analysis, 103964, 103964, Elsevier BV, Mar. 2025, [Peer-reviewed], [International Magazine]
Scientific journal, 36824722 - USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras
Hiroaki Shirokawa; Kohei Yamaguchi; Takahiro Obata; Ryuta Sakemoto
Journal of Futures Markets, Mar. 2025, [Peer-reviewed], [International Magazine]
Scientific journal, 36824722 - Cross-momentum strategies in the equity futures and currency markets
Yasuhiro Iwanaga; Ryuta Sakemoto
Journal of International Money and Finance, 148, 103170, 103170, Elsevier BV, Oct. 2024, [Peer-reviewed], [International Magazine]
English, Scientific journal, 36824722 - Commodity sectors and factor investment strategies
Kei Nakagawa; Ryuta Sakemoto
International Review of Financial Analysis, 95, 103493, 103493, Elsevier BV, Oct. 2024, [Peer-reviewed], [International Magazine]
Scientific journal, 36824722;30804305 - Currency portfolios and global foreign exchange ambiguity
Takao Asano; Xiaojing Cai; Ryuta Sakemoto
Finance Research Letters, 65, 105534, 105534, Elsevier BV, Jul. 2024, [Peer-reviewed], [International Magazine]
English, Scientific journal, 36824722 - Risk price decomposition and the output gap
Ryuta Sakemoto
Financial Review, 1, 26, Wiley, 20 May 2024, [Peer-reviewed], [International Magazine]
English, Scientific journal, Abstract
We employ a time‐varying price of risk model that allows us to track the change in prices of risk. We find that the output gap generates the time‐varying prices of market and momentum risks, but the exposures to the output gap have the opposite signs. In contrast, we do not observe that the output gap is linked to time variations in the prices of value and investment risks. We uncover that the output gaps impact the prices of market risk for European and Japanese portfolios, while there are weak relationships between the prices of momentum risk and output gaps., 36824722;30804305 - The long-run risk premium in the intertemporal CAPM: International evidence
Ryuta Sakemoto
Journal of International Financial Markets, Institutions and Money, 89, 101854, 101854, Elsevier BV, Dec. 2023, [Peer-reviewed], [International Magazine]
English, Scientific journal, 36824722;30804305 - Do commodity factors work as inflation hedges and safe havens?
Kei Nakagawa; Ryuta Sakemoto
Finance Research Letters, 104585, 104585, Elsevier BV, Oct. 2023, [Peer-reviewed], [International Magazine]
English, Scientific journal, 36824722 - Dynamic allocations for currency investment strategies
Nakagawa, K.; Sakemoto, R.
European Journal of Finance, 29, 10, 1, 22, Informa UK Limited, 03 Jul. 2023, [Peer-reviewed], [International Magazine]
English, Scientific journal, 30804305 - Macro Factors in the returns on Cryptocurrencies
Kei Nakagawa; Ryuta Sakemoto
Applied Finance Letters,, 11, 146, 158, Auckland University of Technology (AUT) Library, Feb. 2023, [Peer-reviewed], [International Magazine]
Scientific journal, This study investigates the relationship between expected returns on cryptocurrencies and macroeconomic fundamentals. Investors employ a lot of macroeconomic indicators for their investment decision, and hence adopting a few macroeconomic indicators is not sufficient in capturing a change in economic states. Moreover, due to aggregation, macroeconomic indicators are not measured precisely. To overcome these problems, we employ a dynamic factor model and extract common factors from a large number of macroeconomic indicators. We find that the common factors are strongly linked to the cryptocurrency expected returns at a quarterly frequency, while we do not observe this relationship using macroeconomic indicators such as inflation and money supply. This suggests that macroeconomic information matters in a longer term, which contrasts with the previous literature that explores a short-term relationship. The cryptocurrency prices are not determined by macroeconomic fundamentals in a short-term period since speculators impact the prices. However, in a long-term period, the prices are more linked to macroeconomic fundamentals. - Commodity momentum decomposition
Yasuhiro Iwanaga; Ryuta Sakemoto
Journal of Futures Markets, 43, 2, 1, 19, Wiley, Oct. 2022, [Peer-reviewed], [International Magazine]
English, Scientific journal, 30804305 - Multi‐scale inter‐temporal capital asset pricing model
Ryuta Sakemoto
International Journal of Finance & Economics, Oct. 2022, [Peer-reviewed], [International Magazine]
Scientific journal, 30804305 - Market uncertainty and correlation between Bitcoin and Ether
Nakagawa, K.; Sakemoto, R.
Finance Research Letters, 50, 103216, 103216, Elsevier BV, Aug. 2022, [Peer-reviewed], [International Magazine]
English, Scientific journal, 36824722 - El Niño and Commodity Prices: New Findings From Partial Wavelet Coherence Analysis
Cai, Xiaojing; Sakemoto, Ryuta
Frontiers in Environmental Science, 2022, 10, May 2022, [Peer-reviewed], [International Magazine]
English, Scientific journal - 機械学習による為替フォワード取引期間の判別モデルおよび運用シミュレーション
雉子波 晶; 杉本 誠忠; 酒本 隆太; 鈴木 智也
ジャフィー・ジャーナル, 2022, 20, 22, 40, Apr. 2022, [Peer-reviewed], [Domestic magazines]
Japanese - The time-varying risk price of currency portfolios
Byrne, J.P.; Ibrahim, B.M.; Sakemoto, R.
Journal of International Money and Finance, 124, 102636, 102636, Elsevier BV, Mar. 2022, [Peer-reviewed], ［Internationally co-authored］, [International Magazine]
English, Scientific journal - Cryptocurrency network factors and gold
Nakagawa, K.; Sakemoto, R.
Finance Research Letters, 46, 102375, 102375, Elsevier BV, 2022, [Peer-reviewed], [International Magazine]
Scientific journal - COVID-19 and the forward-looking stock-bond return relationship
Xiaojing Cai; Yingnan Cong; Ryuta Sakemoto
Applied Economics Letters, 1, 5, 30 Sep. 2021, [Peer-reviewed], ［Internationally co-authored］, [International Magazine]
English, Scientific journal - The conditional volatility premium on currency portfolios
Joseph P. Byrne; Ryuta Sakemoto
Journal of International Financial Markets, Institutions and Money, 74, 101415, 101415, Elsevier BV, Sep. 2021, [Peer-reviewed], ［Internationally co-authored］, [International Magazine]
Scientific journal, 30804305 - 国内輸入に伴う貿易通貨比率とゴトオビアノマリーの関係
秋山 朋也; 杉本 誠忠; 酒本 隆太; 鈴木 智也
ジャフィー・ジャーナル, 19, 57, 78, Apr. 2021, [Peer-reviewed]
Japanese, Scientific journal - Stock Market Prediction and Structural Change: Wavelet Approach
Senoguchi, J; Obata, T; Sakemoto. R; Kurahashi, S
Gendai Finance, 42, 71, 89, Jul. 2020, [Peer-reviewed], [Domestic magazines] - Carry trades and commodity risk factors
Joseph P. Byrne; Boulis Maher Ibrahim; Ryuta Sakemoto
Journal of International Money and Finance, 96, 121, 129, Sep. 2019, [Peer-reviewed], ［Internationally co-authored］, [International Magazine]
English, Scientific journal - Commodity price co-movement: heterogeneity and the time-varying impact of fundamentals
Joseph P Byrne; Ryuta Sakemoto; Bing Xu
European Review of Agricultural Economics, 07 May 2019, [Peer-reviewed], ［Internationally co-authored］, [International Magazine]
English, Scientific journal - Currency carry trades and the conditional factor model
Ryuta Sakemoto
International Review of Financial Analysis, 63, 198, 208, May 2019, [Peer-reviewed], [International Magazine]
English, Scientific journal - Direct Estimation of Lead–Lag Relationships Using Multinomial Dynamic Time Warping
Katsuya Ito; Ryuta Sakemoto
Asia-Pacific Financial Markets, 2019, [Peer-reviewed], [International Magazine]
Scientific journal - The intertemporal relation between expected returns and conditional correlations between precious metals and the stock market
Ryuta Sakemoto
Economics and Business Letters, 7, 1, 24, 35, Mar. 2018, [Peer-reviewed], [International Magazine]
Scientific journal - Do precious and industrial metals act as hedges and safe havens for currency portfolios?
Ryuta Sakemoto
Finance Research Letters, 24, 256, 262, Elsevier {BV}, Mar. 2018, [Peer-reviewed], [International Magazine]
Scientific journal - Common information in carry trade risk factors
Joseph P. Byrne; Boulis Maher Ibrahim; Ryuta Sakemoto
Journal of International Financial Markets, Institutions and Money, 52, 37, 47, Jan. 2018, [Peer-reviewed], ［Internationally co-authored］, [International Magazine]
English, Scientific journal - Co-movement between equity and bond markets
Ryuta Sakemoto
International Review of Economics and Finance, 53, 25, 38, Elsevier {BV}, Jan. 2018, [Peer-reviewed], [International Magazine]
Scientific journal - The Nonlinear Dynamic Relationship between Stock Prices and Exchange Rates in Asian Countries
Ryuta Sakemoto
International Journal of Financial Research, 8, 2, 40, 40, Sciedu Press, Feb. 2017, [Peer-reviewed], [International Magazine]
Scientific journal - Dynamic Conditional Correlations in International Stock Market
酒本 隆太
証券アナリストジャーナル, 52, 2, 64, 71, 日本証券アナリスト協会, Feb. 2014, [Peer-reviewed], [Domestic magazines]
Japanese
- International Evidence on Interest Rate Volatility Investment Strategies
Hiroaki Shirokawa; Ryuta Sakemoto, SSRN Electronic Journal, Jul. 2026
This study examines interest rate volatility long-short strategies across major markets and investigates jump and volatility risks as sources of returns. We construct swaption straddle portfolios exploiting the implied volatility term structure and analyze their performance in the U.S., European, U.K., and Japanese bond markets. We find that equal-weight and delta-vega neutral strategies exhibit high investment efficiency across regions, indicating that compensation for jump risk is a key driver of returns. A combination of regional portfolios significantly improves performance, highlighting the benefits of international diversification. In addition, we propose a rho-hedging approach that allows us to capture uncontaminated volatility risk exposure. Rho-hedged volatility strategies display little correlation with yield curve factors but are significantly related to macroeconomic and financial uncertainty., Elsevier BV, 54351056 - Cross-sectional currency momentum and order flow
Ryuta Sakemoto; Shintaro Suda, SSRN Electronic Journal, Apr. 2026
This study investigates whether high buying pressure is associated with higher crosssectional currency momentum returns. We employ order flows from the spot, forward, and swap markets, as well as the maturities of swap and forward contracts, to construct portfolios based on momentum and buying pressure. We find heterogeneous effects of order flows across instruments and maturities on cross-sectional currency momentum portfolios. High buying pressure in the short-term swap market leads to stronger momentum returns. This pattern is particularly significant when using order flows from banks, suggesting that banks extract information through trading with other informed traders. Our double-sorted portfolios based on momentum and order flows generate higher returns when the demand for USD hedging is strong., Elsevier BV, 46428138 - Business Cycles and Factor Returns
Ryuta Sakemoto, SSRN Electronic Journal, Feb. 2026
Elsevier BV, 46428138 - Intraday Time Series Reversal
Yasuhiro Iwanaga; Ryuta Sakemoto, SSRN Electronic Journal, Dec. 2025
Elsevier BV, 46428138 - Good Carry Trades and Market Dynamics
Yasuhiro Iwanaga; Ryuta Sakemoto, SSRN electronic journal, Nov. 2025
Elsevier BV, 46428138 - Business Cycle Co-Movement and Stock Market Risk Premiums Over 145 Years
Ryuta Sakemoto, ssrn electronic journal, Apr. 2025
Elsevier BV, 46428138 - Recent Trends in Commodity Futures Studies
Ryuta Sakemoto, The Annals of Center for Regional Economic and Business Networks, Mar. 2025
36824722;46428138 - Time-Varying Ambiguity Shocks and Business Cycles
Takao Asano; Xiaojing Cai; Ryuta Sakemoto, SSRN Electronic Journal, Nov. 2024
Elsevier BV, 36824722 - Economic Evaluation of Cryptocurrency Investment
Ryuta Sakemoto, SSRN Electronic Journal, Jan. 2021
Elsevier BV, English, 30804305 - 近年の通貨投資に関する研究動向
酒本隆太, 岡山大学経済学会雑誌, 52, 2, 25, 32, Nov. 2020
Japanese, Introduction research institution - Difficultyがビットコイン価格に与える影響
市川 佳彦; 酒本 隆太, 第34回人工知能学会全国大会論文集, 2020 - What is a Hedge or Safe Haven Asset for Bitcoin Investors?
SAKEMOTO Ryuta; HO Alden; ICHIKAWA Yoshihiko, Proceedings of the Annual Conference of JSAI, 2019, 0, 2O3J1303, 2O3J1303, 2019This paper investigates a hedge and safe haven asset for Bitcoin investors. Bitcoin has been receiving high attention from finance investors because of its high upside return and volatility. The recent finance literature focused upon Bitcoin characteristics as an alternative asset. We take Bitcoin investors' perspectives and consider how to manage the high volatility of Bitcoin. We employ the definitions of hedge and safe haven based on the finance literature and conduct the respective statistical analyses. Our definition distinguishes a weak and strong hedge (safe haven). Our empirical results show that traditional assets such as global equities and global bonds are weak hedges for Bitcoin. Furthermore, we observe that gold acts as a strong hedge against Bitcoin during an extreme bearish Bitcoin market, although the impact is marginal. There is no strong safe haven asset identified in our data period. Our results imply that the fundamental value of Bitcoin is still unclear, and it is difficult for Bitcoin investors to manage their portfolio risk.
, The Japanese Society for Artificial Intelligence, Japanese - Global Eye(39)Msc and PhD
酒本 隆太, 人工知能 : 人工知能学会誌 : journal of the Japanese Society for Artificial Intelligence, 33, 2, 240, 243, Mar. 2018
人工知能学会 ; 2014-, Japanese
- Business cycle co-movement and stock market risk premiums over 145 years
Ryuta Sakemoto
The 9th International Conference on Econometrics and Statistics (EcoSta 2026), 10 Aug. 2026, English, Oral presentation
Kyoto, 46428138, [Invited], [International presentation] - 為替予測についての研究紹介
酒本隆太
国立大学CFO/CIO会, 18 Jul. 2026 - Transition (ESG) risk in the finance literature
Ryuta Sakemoto
Mitsubishi UFJ Trust and Banking Corporation × GX Acceleration Agency Transition Dialogue, 22 Jun. 2026, English, Nominated symposium
[Invited] - Cross-sectional currency momentum and order flow
Ryuta Sakemoto
Japan Society of Monetary Economics 2026 Spring Annual Meeting, 16 May 2026, Oral presentation
46428138 - Comments on “Does ESG Information Increase Crash Risk? Evidence on Monitoring from Credit Lines and Governance by Institutional Investors (by Dr. Wenhui Zhu)”
Japan Society of Monetary Economics, Hokkaido Area Workshop, 14 Mar. 2026 - Business cycles and factor returns
Ryuta Sakemoto
Japan Society of Monetary Economics, Hokkaido Area Workshop, 14 Mar. 2026, Oral presentation
46428138 - Does High-Frequency Consumption Data Predict Equity Risk Premiums?
Ryuta Sakemoto
64th Annual Meeting of Japanese Association of Financial Econometrics and Engineering, 15 Feb. 2026, Oral presentation
46428138 - Intraday Time Series Reversal
Ryuta Sakemoto
TKU 86th Finance seminar, 13 Feb. 2026
46428138, [Invited] - 近年の金融市場の動向とリスクプレミアムについて
酒本隆太
北海道大学経済学 同窓会セミナー, 11 Feb. 2026 - Does Price Discovery Shape Liquidity Spillovers? Evidence from Chinese Stock Index Spot and Future Markets
Ryuta Sakemoto
NFA 7th Fall Conference Program, 16 Nov. 2025, English - Discussant: Predicting Bond Risk Premium: Global Term Structure Factors
Ryuta Sakemoto
Japan Society of Monetary Economics 2025 Autumn Annual Meeting, 16 Nov. 2025 - Good Carry Trades and Market Dynamics
Ryuta Sakemoto
Japan Society of Monetary Economics 2025 Autumn Annual Meeting, 15 Nov. 2025, Oral presentation
46428138 - Business cycles and factor returns
Ryuta Sakemoto
Hitotsubashi-Nanzan Finance Workshop 2025, 02 Nov. 2025
46428138, [Invited] - Panel Discussion: FinTech and Regulatory Challenges
Ryuta Sakemoto
The 23rd Conference on international exchange of professionals, 22 Oct. 2025, Nominated symposium
[Invited] - Transition Finance Roundtable ~ Challenges and opportunities for accelerating our transition
Ryuta Sakemoto
Transition Finance Roundtable organized by MUFG Bank, Ltd., London Branch, 24 Jun. 2025, English, Nominated symposium
[Invited] - Discussant： A Weighted Estimator for the Fama-MacBeth Regression: Application to the Japanese Stock Market （Dr. Ryo Kinoshita）
Ryuta Sakemoto
The NFA 33rd Annual Conference, 15 Jun. 2025 - Discussant:Topological data analysis of China’s stock market risks to detect early warning signals (Dr. Wenting Zhang)
Ryuta Sakemoto
The NFA 33rd Annual Conference, 14 Jun. 2025 - Business cycle co-movement and stock market risk premiums over 145 years
Ryuta Sakemoto
The NFA 33rd Annual Conference, 14 Jun. 2025
46428138 - Ambiguity measures of factor returns and business cycles
Ryuta Sakemoto
日本金融学会2025年度春季大会, 08 Jun. 2025
46428138;36824722 - Conditional currency momentum portfolios
Ryuta Sakemoto
MTEC workshop on the FX market, 21 Mar. 2025
36824722, [Invited] - Prices of Risk Estimation for Commodity Factors
Ryuta Sakemoto
Winter Workshop on Operations Research, Finance and Mathematics, 2025, 20 Feb. 2025
46428138;36824722 - Research trends of commodity futures investment
酒本隆太
北海道大学地域経済経営ネットワーク研究センター2024年度第1回研究会, 16 Dec. 2024
46428138;36824722 - Discussant: Time series properties of commodity prices and the network analysis
Ryuta Sakemoto
NFA 6th Fall Conference Program, 09 Nov. 2024, Oral presentation
09 Nov. 2024 - 09 Nov. 2024 - Prices of Risk Estimation for Commodity Factors
Ryuta Sakemoto
NFA 6th Fall Conference Program, 09 Nov. 2024, Oral presentation
46428138;36824722 - Cross-asset momentum: equities, bonds, and currencies
酒本隆太
NFA 6th Fall Conference Program, 09 Nov. 2024, Oral presentation - Commodity futures investment
Ryuta Sakemoto
日本金融学会 2024年度第1回関東部会, 18 Sep. 2024
46428138;36824722, [Invited] - Conditional currency momentum portfolios
Ryuta Sakemoto
Waseda Workshop on Economics of Uncertainty and its Related Field, 10 Jun. 2024
36824722, [Invited] - Cross-momentum strategies in the equity futures and currency markets
Ryuta Sakemoto
慶應義塾大学院商学研究科ワークショップ, 04 Jun. 2024
36824722, [Invited] - 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), 13 Feb. 2024
[Invited] - Discussant: Prediction of currency portfolios using a machine learning approach
Ryuta Sakemto
日本ファイナンス学会 第５回秋季研究大会, 11 Nov. 2023, Oral presentation - Conditional currency momentum portfolios
Ryuta Sakemoto
2023年第4回金融研究会（一橋大学）, 08 Jun. 2023
36824722, [Invited] - The Long-run Risk Premium in the ICAPM: International Evidence
Ryuta Sakemoto
慶應義塾大学 経済研究所 計量経済学ワークショップ, 23 May 2023
30804305, [Invited] - Conditional Currency Momentum Portfolios
Ryuta Sakemoto
The NFA 31st Annual Conference, 20 May 2023, English, Oral presentation
20 May 2023 - 21 May 2023, 36824722 - Time-varying factor comovements and business cycles
Ryuta Sakemoto
Waseda Workshop on Economics of Uncertainty and its Related Field, 16 Mar. 2023 - Time-varying factor comovements and business cycles
Ryuta Sakemoto
TKU ファイナンス研究会, 16 Feb. 2023
[Invited] - Risk premium decomposition and the output gap
Ryuta Sakemoto
金融工学・数理計量ファイナンスの諸問題 2022, 01 Dec. 2022
36824722;30804305, [Invited] - Risk Premium Decomposition and the Output Gap
Ryuta Sakemoto
政策的不確実性と国際経済に関する研究会, 23 Nov. 2022
36824722, [Invited] - Discussant: “Individual preference and risk-return relationships
Ryuta Sakemoto
日本経営財務研究学会 西日本部会 2022, 06 Aug. 2022, Oral presentation - Discussant:International Pecking Order (Dr. Zhou, H)
Ryuta Sakemoto
2022 Asian Finance Association Annual Conference, 28 Jun. 2022, English, Oral presentation - The Long-run Risk Premium in the ICAPM: International Evidence
Ryuta Sakemoto
2022 Asian Finance Association Annual Conference, 28 Jun. 2022, Oral presentation - Risk Premium Decomposition and the Output Gap
Ryuta Sakemoto
The 30th Anniversary Annual Meeting of the Nippon Finance Association, 04 Jun. 2022, English, Oral presentation
04 Jun. 2022 - 05 Jun. 2022, 36824722 - Discussant: Value Premium in Japanese Market: Statistical (Re)appraisal (Dr. Leonardo Cadamuro)
Ryuta Sakemoto
30th Annual Conference of Nippon Finance Association, 04 Jun. 2022, English - Economic evaluation of cryptocurrency investment
Ryuta Sakemoto
Annual Event of Finance Research Letters, 22 Apr. 2022, English, Oral presentation
21 Apr. 2022 - 22 Apr. 2022, 30804305 - Discussant: Performance evaluation of banks asset and liability management with integrated entropy TOPSIS model (Dr. Lee, P.F)
Ryuta Sakemoto
Annual Event of Finance Research Letters, 22 Apr. 2022, English, Oral presentation - The Long-run Risk Premium in the ICAPM: International Evidence
Ryuta Sakemoto
NFA 3rd Fall Conference, 20 Nov. 2021, Oral presentation - Risk-return Trade-off on the Currency Portfolios
Ryuta Sakemoto
27th Annual Conference of Nippon Finance Association, 22 Jun. 2019 - What is a Hedge or Safe Haven Asset for Bitcoin Investors?
Ryuta Sakemoto
The 33rd Annual Conference of the Japanese Society for Artificial Intelligence, 05 Jun. 2019 - Risk-return Trade-off on the Currency Portfolios
Ryuta Sakemoto
第49回JAFEE大会, 25 Aug. 2018 - Time-Varying Risk Price of Currency Carry Trades
Ryuta sakemoto
26th Annual Conference of Nippon Finance Association, 24 Jun. 2018 - Currency Carry Trades and the Conditional Factor Model
Ryuta Sakemoto
7th International Conference of the Financial Engineering and Banking Society, 02 Jun. 2017 - Currency Carry Trades and the Conditional Factor Model
Ryuta Sakemoto
Workshop on Financial Econometrics and Empirical Modeling of Financial Markets, 20 Apr. 2017 - Time-Varying Risk Price of Currency Carry Trades
Ryuta Sakemoto
Royal Economic Society 2017 Annual Conference, 11 Apr. 2017, Oral presentation - Time-Varying Risk Price and Currency Carry Trades
Ryuta Sakemoto
Money, Macro, and Finance Research Group 48th Annual Conference, 08 Sep. 2016 - Currency Carry Trades and Risk Factors: A Dynamic Hierarchical Factor Model Approach
Ryuta Sakemoto
Money, Macro, and Finance Research Group 47th Annual Conference, 10 Sep. 2015 - Currency Carry Trades and Risk Factors: A Dynamic Hierarchical Factor Model Approach
Ryuta Sakemoto
PhD conference in Monetary and Financial Economics, 27 Jun. 2015 - Currency Carry Trades and Risk Factors: A Dynamic Hierarchical Factor Model Approach
Ryuta Sakemoto
2nd Young Finance Scholar’s Conference, 25 Jun. 2015 - Dynamic Conditional Correlations in International Stock Market
酒本隆太
39th Annual Meeting of Japanese Association of Financial Econometrics and Engineering, 04 Aug. 2013
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- 演習Ⅳ（２単位）, 2024年, 学士課程, 経済学部
- ファイナンス理論, 2024年, 学士課程, 経済学部
- ファイナンス特論Ｂ, 2024年, 修士課程, 経済学院
- 経営科学Ⅰ, 2024年, 学士課程, 経済学部
- リアルオプション特論Ａ, 2024年, 修士課程, 経済学院
- ファイナンスⅡ, 2024年, 専門職大学院, 経済学院
- リサーチ・ペーパー演習, 2024年, 専門職大学院
- ファイナンスⅣ, 2024年, 専門職大学院, 経済学院
- 経営情報Ⅱ, 2024年, 専門職大学院, 経済学院
- ファイナンスⅠ, 2024年, 専門職大学院, 経済学院
- ファイナンスⅢ, 2024年, 専門職大学院, 経済学院
- 経営情報Ⅰ, 2024年, 専門職大学院, 経済学院
- Nov. 2024 - Present
日本金融学会 - Apr. 2020 - Present
日本金融・証券計量・工学学会 - Apr. 2020 - Present
日本ファイナンス学会 - Sep. 2009 - Present
日本証券アナリスト協会
- The Impact of Ambiguity on Economic Activity, Financial Markets, and Investment Behavior: Theory and Evidence
Grants-in-Aid for Scientific Research
Apr. 2026 - Mar. 2030
浅野 貴央; 酒本 隆太; 蔡 暁静
Japan Society for the Promotion of Science, Grant-in-Aid for Scientific Research (B), Okayama University, 26K00356 - Macroeconomic conditions and risk management for portfolios
Grants-in-Aid for Scientific Research Grant-in-Aid for Early-Career Scientists
Apr. 2022 - Mar. 2024
酒本 隆太
Japan Society for the Promotion of Science, Grant-in-Aid for Early-Career Scientists, Okayama University, 22K13430 - 金融市場におけるリスク・リターンの研究
科学研究費助成事業 研究活動スタート支援
11 Sep. 2020 - 31 Mar. 2022
酒本 隆太
本研究ではファイナンス研究の基礎となっているリスク・リターンの関係について分析を行う。2020年度は米国の株式市場を対象に、投資家のtime horizonを考慮したモデルの実証分析を行い、ABSリスト3の国際査読誌に論文を発表することができた。2021年度は分析対象を為替市場にして、為替戦略ごとのリスク・リターンの関係について実証分析を行った。当該論文もABSリスト3の国際査読誌に掲載が決定した。現在は仮想通貨市場を対象とした研究の改訂を主に、2020年度の研究にMixed-data samplingを利用した研究を進めている。仮想通貨についての研究は論文投稿したさいに基準となるベンチマークの曖昧さを指摘され、その部分を中心に改訂を行っている。Mixed-data samplingを利用した研究については初期の結果を日本ファイナンス学会で発表した。
日本学術振興会, 研究活動スタート支援, 岡山大学, 20K22092
Industrial Property Rights
- Peer review
Jul. 2026
Peer review
Macroeconomics and Finance in Emerging Market Economies. - Peer Review
Jul. 2026
Peer review
International Review of Financial Analysis - Peer review
Jun. 2026 - Jun. 2026
Peer review
Peer review etc
Pacific-Basin Finance Journal - Peer review
Jun. 2026
Peer review
International Review of Financial Analysis - Peer Review
May 2026 - May 2026
Peer review
Peer review etc
Finance Research Letters - Peer review
Mar. 2026 - Mar. 2026
Peer review
Peer review etc
International Review of Financial Analysis - Peer review
Mar. 2026 - Mar. 2026
Peer review
Peer review etc
Applied Economics Letters - External PhD examiner
05 Feb. 2026 - 05 Feb. 2026
Review
Okayama University Graduate School of Humanities and Social Sciences - Peer review
Feb. 2026 - Feb. 2026
Peer review
Peer review etc
Finance Research Letters - Peer review
Jan. 2026 - Jan. 2026
Peer review
Peer review etc
International Review of Financial Analysis - Peer review
Jan. 2026 - Jan. 2026
Peer review
Peer review etc
North American Journal of Economics and Finance - Peer review
Dec. 2025 - Dec. 2025
Peer review
Applied Economics Letters - Peer review
Nov. 2025 - Nov. 2025
Peer review
Peer review etc
Asia-Pacific Financial Markets - Peer review
Nov. 2025 - Nov. 2025
Peer review
International Journal of Finance & Economics - Peer review
Nov. 2025
Peer review
Peer review etc
Finance Research Letters - Peer Review
Oct. 2025
Peer review
Journal of Commodity Markets - Peer review
Sep. 2025 - Sep. 2025
Peer review
Journal of Commodity Markets - Peer review
Sep. 2025
Peer review
Finance Research Letters - Peer review
Jul. 2025
Peer review
Journal of International Financial Markets, Institutions and Money - Peer Review
Jun. 2025 - Jun. 2025
Peer review
Peer review etc
Journal of International Financial Markets Institutions & Money - Peer Review
May 2025 - May 2025
Peer review
International Review of Financial Analysis - Peer review
Mar. 2025 - Mar. 2025
Peer review
Peer review etc
The European Journal of Finance - Peer review
Mar. 2025
Peer review
Peer review etc
Applied Economics Letters - Peer review
Mar. 2025
Peer review
Peer review etc
International Review of Economics and Finance - Peer Review
Feb. 2025 - Feb. 2025
Peer review
Peer review etc
Finance Research Letters - Peer Review
Feb. 2025 - Feb. 2025
Peer review
Peer review etc
Applied Economics Letters - Peer review
Feb. 2025 - Feb. 2025
Peer review
Peer review etc
Finance Research Open - Peer Review
Jan. 2025 - Jan. 2025
Peer review
Peer review etc
Review of World Economics - Peer review
Dec. 2024 - Dec. 2024
Peer review
Peer review etc
Financial Review - Peer Review
Dec. 2024 - Dec. 2024
Peer review
Peer review etc
Journal of Futures Markets - Peer Review
Nov. 2024 - Nov. 2024
Peer review
Peer review etc
International Review of Financial Analysis - Peer Review
01 Nov. 2024 - 01 Nov. 2024
Peer review
Peer review etc
Finance Research Letters - Peer Review
Oct. 2024 - Oct. 2024
Peer review
Peer review etc
Japan and World Economy - Peer Review
Oct. 2024 - Oct. 2024
Peer review
Journal of International Financial Markets Institutions & Money - Peer Review
29 Sep. 2024 - 29 Sep. 2024
Peer review
Peer review etc
Finance Research Letters - Peer Review
Sep. 2024 - Sep. 2024
Peer review
Peer review etc
Applied Economics Letters - Peer Review
Sep. 2024 - Sep. 2024
Peer review
Peer review etc
International Review of Economics and Finance - Peer Review
Sep. 2024 - Sep. 2024
Peer review
Peer review etc
Finance Research Letters - Peer Review
Aug. 2024 - Aug. 2024
Peer review
Cogent Economics & Finance - Peer Review
Aug. 2024 - Aug. 2024
Peer review
Journal of International Financial Markets Institutions & Money - Peer Review
Jun. 2024 - Jun. 2024
Peer review
Peer review etc
Finance Research Letters - Peer Review
May 2024 - May 2024
Peer review
Peer review etc
Singapore economic review - Peer Review
22 Mar. 2024 - 22 Mar. 2024
Peer review
Peer review etc
Finance Research Letters - Peer Review
Mar. 2024 - Mar. 2024
Peer review
Peer review etc
Applied Economics - Peer Review
Mar. 2024 - Mar. 2024
Peer review
North American Journal of Economics and Finance - Peer Review
Mar. 2024 - Mar. 2024
Peer review
Finance Research Letters - Peer Review
23 Jan. 2024 - 23 Jan. 2024
Peer review
Finance Research Letters - Peer Review
Jan. 2024 - Jan. 2024
Peer review
Peer review etc
International Journal of Economic Policy Studies - Peer Review
Jan. 2024 - Jan. 2024
Peer review
Asia-Pacific Financial Markets - Peer review
Dec. 2023 - Dec. 2023
Peer review
Peer review etc
Finance Research Letters - Peer Review
Nov. 2023 - Nov. 2023
Peer review
Peer review etc
Finance Research Letters - Peer Review
Nov. 2023 - Nov. 2023
Peer review
Peer review etc
International Review of Economics and Finance - Peer Review
Oct. 2023 - Oct. 2023
Peer review
Peer review etc
Finance Research Letters - Peer Review
12 Sep. 2023 - 12 Sep. 2023
Peer review
Peer review etc
Finance Research Letters - Peer review
01 Sep. 2023 - 01 Sep. 2023
Peer review
Peer review etc
Finance Research Letters - Peer review
Aug. 2023 - Aug. 2023
Peer review
Peer review etc
Journal of Futures Markets - Peer review
Aug. 2023 - Aug. 2023
Peer review
Peer review etc
Finance Research Letters - Peer review
Jul. 2023 - Jul. 2023
Peer review
Peer review etc
Finance Research Letters - Peer Review
Jun. 2023 - Jun. 2023
Peer review
Peer review etc
Asia-Pacific Financial Markets - Peer review
Jun. 2023 - Jun. 2023
Peer review
Peer review etc
Finance Research Letters - Peer review
May 2023 - May 2023
Peer review
Peer review etc
Applied Economics Letters - Peer review
Apr. 2023 - Apr. 2023
Peer review
Peer review etc
International Review of Economics & Finance - Peer review
Apr. 2023 - Apr. 2023
Peer review
Peer review etc
Journal of Futures Markets - Peer review
Mar. 2023 - Mar. 2023
Peer review
Peer review etc
International Review of Financial Analysis - Peer review
Feb. 2023 - Feb. 2023
Peer review
Peer review etc
Finance Research Letters - Peer Review
Dec. 2022 - Dec. 2022
Peer review
Peer review etc
Australian Journal of Agricultural and Resource Economics. - Peer Review
Aug. 2022 - Aug. 2022
Peer review
Peer review etc
Journal of Applied Economics - Peer Review
Aug. 2022 - Aug. 2022
Peer review
Peer review etc
Journal of International Money and Finance - Peer Review
Apr. 2022 - Apr. 2022
Peer review
Peer review etc
Finance Research Letters - Peer Review
Mar. 2022 - Mar. 2022
Peer review
Journal of International Financial Markets, Institutions & Money - Peer Review
Sep. 2021 - Sep. 2021
Peer review
Peer review etc
Applied Economics - Peer Review
Sep. 2021 - Sep. 2021
Peer review
Peer review etc
Journal of International Financial Markets, Institutions & Money - Peer review
20 Aug. 2021 - 20 Aug. 2021
Peer review
Peer review etc
International Review of Financial Analysis - peer review
04 Aug. 2021 - 04 Aug. 2021
Peer review
Asia-Pacific Financial Markets - Peer Review
31 Jul. 2021 - 31 Jul. 2021
Peer review
Peer review etc
Applied Economics - PhD thesis external examiner
Jul. 2021 - Jul. 2021
Review
Review
Tohoku university graduate school of economics and management - Peer Review
21 May 2021 - 21 May 2021
Peer review
Peer review etc
Asia-Pacific Financial Markets - Grant review
03 May 2021 - 03 May 2021
Review
Review
Xi'an Jiaotong-Liverpool University - Peer review
20 Apr. 2021 - 20 Apr. 2021
Peer review
Peer review etc
Journal of International Financial Markets, Institutions and Money - Peer Review
26 Feb. 2021 - 26 Feb. 2021
Peer review
Peer review etc
Journal of International Money and Finance - Peer review
21 Jan. 2021 - 21 Jan. 2021
Peer review
The Indian Economic Journal - Peer review
08 Jan. 2021 - 08 Jan. 2021
Peer review
Peer review etc
International Review of Economics and Finance - Peer Review
26 Dec. 2020 - 26 Dec. 2020
Peer review
Peer review etc
Asia-Pacific Financial Markets - Refereeing
19 Nov. 2020 - 19 Nov. 2020
Peer review
Peer review etc
Finance Research Letters - Peer Review
01 May 2020
Peer review
Peer review etc
North American Journal of Economics and Finance - Peer Review
25 Mar. 2020
Peer review
Peer review etc
Journal of Multinational Financial Management - Peer Review
19 Dec. 2019
Peer review
Peer review etc
Research in International Business and Finance - Peer Review
01 Dec. 2019
Peer review
Peer review etc
Financial Innovation - Peer Review
01 Sep. 2019
Peer review
Peer review etc
Journal of International Money and Finance - Peer Review
24 Jul. 2019
Peer review
Peer review etc
Economics and Business Letters - Peer Review
24 Mar. 2019
Peer review
Peer review etc
Japanese Economic Review - Peer Review
03 Nov. 2017
Peer review
Peer review etc
Emerging Markets Finance and Trade
- 岡山県立操山高等学校「未来航路」アドバイザー
Apr. 2023 - Mar. 2024
Lecturer
岡山県立操山高等学校 - 大学訪問講師（兵庫県立姫路南高等学校・岡山県美作高等学校）
08 Dec. 2023 - 08 Dec. 2023
Lecturer - 大学訪問講師（岡山県立倉敷古城池高等学校）
09 Nov. 2023 - 09 Nov. 2023
Lecturer
岡山県立倉敷古城池高等学校 - 高校訪問（岡山県立笠岡高等学校）
20 Oct. 2023 - 20 Oct. 2023
Lecturer
岡山県立笠岡高等学校 - 大学訪問講師（岡山県立津山東高等学校）
06 Oct. 2023 - 06 Oct. 2023
Lecturer
岡山県立津山東高等学校 - 大学訪問講師（岡山県立岡山芳泉高等学校）
13 Jul. 2023 - 13 Jul. 2023
Lecturer - 大学訪問講師（香川県立坂出高等学校）
14 Oct. 2022 - 14 Oct. 2022
Lecturer - 大学訪問講師（岡山県立新見高等学校 ）
08 Jul. 2022 - 08 Jul. 2022
Lecturer - 高校訪問（岡山県立津山高等学校）
24 Jun. 2022 - 24 Jun. 2022
Lecturer - 高校訪問（倉敷高等学校）
20 May 2022 - 20 May 2022
Lecturer
- コモディティー投資を学ぶ（2）リスクを分散する「総合指数」
31 Mar. 2043
Myself
日本経済新聞
https://www.nikkei.com/article/DGXZQOCD163PI0W6A210C2000000/, [Paper] - コモディティー投資を学ぶ（9）「金融化」についての多様な見方
09 Apr. 2026
Myself
日本経済新聞
https://www.nikkei.com/article/DGXZQOCD163ZK0W6A210C2000000/, [Paper] - コモディティー投資を学ぶ（8）「金融化」の進展が与える影響
08 Apr. 2026
日本経済新聞
https://www.nikkei.com/article/DGXZQOCD163YS0W6A210C2000000/, [Paper] - コモディティー投資を学ぶ（7）他の経済指標との関連性
07 Apr. 2026
日本経済新聞
https://www.nikkei.com/article/DGXZQOCD163XC0W6A210C2000000/, [Paper] - コモディティー投資を学ぶ（6）ヘッジ・逃避資産としての役割
06 Apr. 2026
Myself
日本経済新聞
https://www.nikkei.com/article/DGXZQOCD163VQ0W6A210C2000000/, [Paper] - コモディティー投資を学ぶ(5) 発展する「モメンタム」の研究
03 Apr. 2026
Myself
日本経済新聞
https://www.nikkei.com/article/DGKKZO95401870S6A400C2KE8000/, [Paper] - コモディティー投資を学ぶ（4）「限月」の価格差を使う手法
02 Apr. 2026
日本経済新聞
https://www.nikkei.com/article/DGXZQOCD163R70W6A210C2000000/, [Paper] - コモディティー投資を学ぶ（3）過去の価格上昇に乗る投資
01 Apr. 2026
日本経済新聞
https://www.nikkei.com/article/DGXZQOCD163QF0W6A210C2000000/, [Paper] - コモディティー投資を学ぶ(1) オルタナティブ資産への関心
30 Mar. 2026
Myself
日本経済新聞
https://www.nikkei.com/article/DGKKZO95275630X20C26A3KE8000/, [Paper] - Conditional Currency Momentum Portfolios: New Insights from Ryuta Sakemoto
21 Aug. 2025
Myself
Japan Exchange Group
36824722, [Internet] - Currency carry trades and market uncertainty
Feb. 2025
Japan Exchange Group
https://market-news-insights-jpx.com/insights/article008418/, 46428138, [Internet] - 知らないとマズイFXの危険性とは？
Jan. 2024
Other than myself
株式会社インベストメントブリッジ
いろはにマネー
https://www.bridge-salon.jp/money/fx/fx-kiken/, [Internet] - ロボアドバイザーはやめた方がいい？
Jan. 2024
Other than myself
株式会社インベストメントブリッジ
いろはにマネー
https://www.bridge-salon.jp/money/robot-advisor/robo-yameru/, [Internet] - 投資初心者の資産運用方法とは
Jan. 2024
Other than myself
株式会社インベストメントブリッジ
いろはにマネー
https://www.bridge-salon.jp/money/kiso/sakemoto-asset-interview/, [Internet] - 為替・コモディティの専門家から聞く、分散投資の必要性
26 Oct. 2023
Other than myself
株式会社EXIDEA
HonNe-総合比較メディア（金融）
https://exidea.co.jp/blog/money/tie-up/sakemoto-professor/, [Internet] - ななスパbiz（金価格について）
08 Sep. 2023
テレビせとうち
ななすぱbiz
[Media report] - これからの金融業界でキャリア形成するために必要な視点とは？
Aug. 2023
一般社団法人キャリア協会
一般社団法人キャリア協会
https://job.or.jp/interview-sakemoto/, [Internet] - 計量ファイナンスを用いたポートフォリオ構築とは？
Aug. 2023
ベストセレクション株式会社
https://www.best-selection.co.jp/interview-sakemoto, [Internet] - 価格はなぜ変動するのか？実践で応用可能な理 論を探る
12 Jul. 2023
Other than myself
株式会社RUNWAYS
https://runways.co.jp/1110/, [Internet] - アセットプライシングの研究と投資アドバイス
Jun. 2023
Other than myself
株式会社ロハスタイル
引越し/暮らしの情報 Livika
https://livika.jp/16401/, [Internet] - What should we know about currency market prediction?
Dec. 2022
Myself
有限会社グリーン・アース
https://sxl.co.jp/correct-exchangerate-prediction/, [Internet] - FXで分散投資はできるのか？
Aug. 2022
Other than myself
エモーショナルリンク合同会社
https://emotional-link.co.jp/sakemoto-prof/, [Internet] - 「コモディティ価格」って何？投資をする上で知っておくべきこととは
Aug. 2021
Other than myself
株式会社キュービック
money focus
https://hoken-room.jp/money/moneyfocus/acd002, [Internet] - 「コモディティ価格」って何？投資をする上で知っておくべきこととは
Apr. 2021
Other than myself
株式会社キュービック
エフプロ
https://www.fx-cube.jp/content/i033, [Internet]
