Sakemoto Ryuta 酒本隆太

Researcher Number	50880275
Other IDs
Affiliation (Current)	2026: 北海道大学, 経済学研究院, 准教授
Affiliation (based on the past Project Information) *help	2026: 北海道大学, 経済学研究院, 准教授 2024: 北海道大学, 経済学研究院, 准教授 2021 – 2023: 岡山大学, 社会文化科学学域, 准教授 2020: 岡山大学, 社会文化科学研究科, 准教授
Review Section/Research Field	Principal Investigator Basic Section 07060:Money and finance-related / 0107:Economics, business administration, and related fields Except Principal Investigator Sections That Are Subject to Joint Review: Basic Section07030:Economic statistics-related , Basic Section07060:Money and finance-related / Basic Section 07030:Economic statistics-related / Basic Section 07060:Money and finance-related
Keywords	Principal Investigator ICAPM / モメンタム / バリュー / ファクターモデル / 通貨ポートフォリオ / Commodity futures / Factor group / Factor investment / Risk premiums / FX Ambiguity … More / FX Volatility / Carry Trades / Dynamic factor model / Common factor / Anomalies / 効用関数 / CAPM / リスクファクター / アウトプットギャップ / リスクプレミアム / 相関 / 仮想通貨 / 不確実性 / ベーシス / ファクター投資 / 異時点間のCAPM / 長期リスク / Correlation / Forward discounts / Precious metals / Factor portfolios / Momentum portfolios / Output gap / safe haven / cross-assets / correlation / output gap / 為替市場 / 期待リターン / バリューポートフォリオ / キャリートレード / ウェーブレット / 投資期間 / リスク / flight to quality / momentum / carry / currency portfolio / FX volatility / 行動ファイナンス / コモディティ価格 / 投資戦略 / ボラティリティ / コモディティ先物 / キャリー … More Except Principal Investigator 為替市場 / 曖昧性 Less

The Impact of Ambiguity on Economic Activity, Financial Markets, and Investment Behavior: Theory and Evidence
- Principal Investigator
  
  浅野貴央
- Project Period (FY)
  2026 – 2029
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 07060:Money and finance-related
  Basic Section 07030:Economic statistics-related
  Sections That Are Subject to Joint Review: Basic Section07030:Economic statistics-related , Basic Section07060:Money and finance-related
- Research Institution
  Okayama University
Risk premium and factor investmentPrincipal Investigator
- Principal Investigator
  
  酒本隆太
- Project Period (FY)
  2024 – 2026
- Research Category
  
  Grant-in-Aid for Early-Career Scientists
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Hokkaido University
The relationship between economic conditions and portfolio riskPrincipal Investigator
- Principal Investigator
  
  Sakemoto Ryuta
- Project Period (FY)
  2022 – 2024
- Research Category
  
  Grant-in-Aid for Early-Career Scientists
- Review Section
  
  Basic Section 07060:Money and finance-related
- Research Institution
  Hokkaido University
  Okayama University
Risk and return relationships in the financial marketsPrincipal Investigator
- Principal Investigator
  
  Sakemoto Ryuta
- Project Period (FY)
  2020 – 2023
- Research Category
  
  Grant-in-Aid for Research Activity Start-up
- Review Section
  
  0107:Economics, business administration, and related fields
- Research Institution
  Okayama University

All 2025 2024 2023 2022 2021 2020

All Journal Article Presentation

[Journal Article] Commodity correlation risk2025
- Author(s)
  Byrne Joseph P.、Sakemoto Ryuta
- Journal Title
  
  Journal of Commodity Markets
  
  Volume: 38 Pages: 100473-100473
- DOI
  10.1016/j.jcomm.2025.100473
- Data Source
  KAKENHI-PROJECT-22K13430
[Journal Article] Time‐varying group common factors in the stock market anomalies2025
- Author(s)
  Sakemoto Ryuta
- Journal Title
  
  Financial Review
  
  Volume: 60 Issue: 2 Pages: 121-146
- DOI
  10.1111/fire.12419
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-22K13430, KAKENHI-PROJECT-24K16398
[Journal Article] USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras2025
- Author(s)
  Shirokawa Hiroaki、Yamaguchi Kohei、Obata Takahiro、Sakemoto Ryuta
- Journal Title
  
  Journal of Futures Markets
  
  Volume: 45 Issue: 3 Pages: 208-223
- DOI
  10.1002/fut.22561
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-22K13430
[Journal Article] Conditional currency momentum portfolios2025
- Author(s)
  Iwanaga Yasuhiro、Sakemoto Ryuta
- Journal Title
  
  International Review of Financial Analysis
  
  Volume: 99 Pages: 103964-103964
- DOI
  10.1016/j.irfa.2025.103964
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-22K13430
[Journal Article] Stochastic ESG scores and nonpecuniary ESG preferences: An extension to CAPM2025
- Author(s)
  Nakagawa Kei、Morita Keisuke、Sakemoto Ryuta
- Journal Title
  
  Finance Research Letters
  
  Volume: 79 Pages: 107179-107179
- DOI
  10.1016/j.frl.2025.107179
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-24K16398
[Journal Article] Swaption and term structures of volatility risk premiums2024
- Author(s)
  Shirokawa Hiroaki、Yamaguchi Kohei、Obata takahiro、Sakemoto Ryuta
- Journal Title
  
  SSRN Electronic Journal
  
  Volume: 4597776 Pages: 1-58
- DOI
  10.2139/ssrn.4597776
- Open Access
- Data Source
  KAKENHI-PROJECT-22K13430
[Journal Article] Risk price decomposition and the output gap2024
- Author(s)
  Sakemoto Ryuta
- Journal Title
  
  Financial Review
  
  Volume: 60 Issue: 1 Pages: 121-146
- DOI
  10.1111/fire.12397
- Data Source
  KAKENHI-PROJECT-22K13430
[Journal Article] Global foreign exchange volatility, ambiguity, and currency carry trades2024
- Author(s)
  Asano Takao、Cai Xiaojing、Sakemoto Ryuta
- Journal Title
  
  SSRN Electronic Journal
  
  Volume: 4993938 Pages: 1-63
- DOI
  10.2139/ssrn.4993938
- Open Access
- Data Source
  KAKENHI-PROJECT-24K16398
[Journal Article] Cross-momentum strategies in the equity futures and currency markets2024
- Author(s)
  Iwanaga Yasuhiro、Sakemoto Ryuta
- Journal Title
  
  Journal of International Money and Finance
  
  Volume: 148 Pages: 103170-103170
- DOI
  10.1016/j.jimonfin.2024.103170
- Data Source
  KAKENHI-PROJECT-22K13430
[Journal Article] Cross-sectional reversal portfolios in the cryptocurrency market: Behavioral approaches2024
- Author(s)
  Nakagawa Kei、Sakemoto Ryuta
- Journal Title
  
  SSRN Electronic Journal
  
  Volume: 5001299 Pages: 1-27
- DOI
  10.2139/ssrn.5001299
- Open Access
- Data Source
  KAKENHI-PROJECT-24K16398
[Journal Article] Commodity Sectors and Factor Investment Strategies2024
- Author(s)
  Nakagawa Kei、Sakemoto Ryuta
- Journal Title
  
  SSRN Electronic Journal
  
  Volume: 4622974 Pages: 1-59
- DOI
  10.2139/ssrn.4622974
- Open Access
- Data Source
  KAKENHI-PROJECT-22K13430, KAKENHI-PROJECT-20K22092
[Journal Article] Currency portfolios and global foreign exchange ambiguity2024
- Author(s)
  Asano Takao、Cai Xiaojing、Sakemoto Ryuta
- Journal Title
  
  Finance Research Letters
  
  Volume: 65 Pages: 105534-105534
- DOI
  10.1016/j.frl.2024.105534
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20H01507, KAKENHI-PROJECT-20K01745, KAKENHI-PROJECT-22K13430, KAKENHI-PROJECT-23K22117, KAKENHI-PROJECT-23K01468
[Journal Article] Prices of Risk Estimation for Commodity Factors2024
- Author(s)
  Nakagawa Kei、Sakemoto Ryuta
- Journal Title
  
  SSRN Electronic Journal
  
  Volume: 4952943 Pages: 1-55
- DOI
  10.2139/ssrn.4952943
- Open Access
- Data Source
  KAKENHI-PROJECT-24K16398
[Journal Article] Commodity sectors and factor investment strategies2024
- Author(s)
  Nakagawa Kei、Sakemoto Ryuta
- Journal Title
  
  International Review of Financial Analysis
  
  Volume: 95 Pages: 103493-103493
- DOI
  10.1016/j.irfa.2024.103493
- Data Source
  KAKENHI-PROJECT-22K13430
[Journal Article] Commodity Correlation Risk2024
- Author(s)
  Byrne Joseph、Sakemoto Ryuta
- Journal Title
  
  SSRN Electronic Journal
  
  Volume: 4265924 Pages: 1-52
- DOI
  10.2139/ssrn.4265924
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K22092
[Journal Article] Do commodity factors work as inflation hedges and safe havens?2023
- Author(s)
  Nakagawa Kei、Sakemoto Ryuta
- Journal Title
  
  Finance Research Letters
  
  Volume: 58 Pages: 104585-104585
- DOI
  10.1016/j.frl.2023.104585
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-22K13430
[Journal Article] Conditional Currency Momentum Portfolios2023
- Author(s)
  Iwanaga Yasuhiro、Sakemoto Ryuta
- Journal Title
  
  SSRN Electronic Journal
  
  Volume: 4411616 Pages: 1-59
- DOI
  10.2139/ssrn.4411616
- Open Access
- Data Source
  KAKENHI-PROJECT-22K13430
[Journal Article] Risk Premium Decomposition and the Output Gap2023
- Author(s)
  Sakemoto Ryuta
- Journal Title
  
  SSRN Electronic Journal
  
  Volume: 4267778 Pages: 1-111
- DOI
  10.2139/ssrn.4267778
- Open Access
- Data Source
  KAKENHI-PROJECT-22K13430, KAKENHI-PROJECT-20K22092
[Journal Article] Cross-momentum strategies in the equity futures and currency markets2023
- Author(s)
  Iwanaga Yasuhiro、Sakemoto Ryuta
- Journal Title
  
  SSRN Electronic Journal
  
  Volume: 4622968 Pages: 1-81
- DOI
  10.2139/ssrn.4622968
- Open Access
- Data Source
  KAKENHI-PROJECT-22K13430
[Journal Article] The long-run risk premium in the intertemporal CAPM: International evidence2023
- Author(s)
  Sakemoto Ryuta
- Journal Title
  
  Journal of International Financial Markets, Institutions and Money
  
  Volume: 89 Pages: 101854-101854
- DOI
  10.1016/j.intfin.2023.101854
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-22K13430, KAKENHI-PROJECT-20K22092
[Journal Article] Time-Varying Ambiguity Shocks and Business Cycles2023
- Author(s)
  Asano Takao、Cai Xiaojing、Sakemoto Ryuta
- Journal Title
  
  SSRN Electronic Journal
  
  Volume: 4547772 Pages: 1-47
- DOI
  10.2139/ssrn.4547772
- Open Access
- Data Source
  KAKENHI-PROJECT-22K13430, KAKENHI-PROJECT-24K16398
[Journal Article] Commodity momentum decomposition2022
- Author(s)
  Iwanaga Yasuhiro、Sakemoto Ryuta
- Journal Title
  
  Journal of Futures Markets
  
  Volume: 43 Issue: 2 Pages: 198-216
- DOI
  10.1002/fut.22382
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20K22092
[Journal Article] Market uncertainty and correlation between Bitcoin and Ether2022
- Author(s)
  Nakagawa Kei、Sakemoto Ryuta
- Journal Title
  
  Finance Research Letters
  
  Volume: 50 Pages: 103216-103216
- DOI
  10.1016/j.frl.2022.103216
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-22K13430
[Journal Article] Dynamic allocations for currency investment strategies2022
- Author(s)
  Nakagawa Kei、Sakemoto Ryuta
- Journal Title
  
  The European Journal of Finance
  
  Volume: - Issue: 10 Pages: 1-22
- DOI
  10.1080/1351847x.2022.2100715
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-20K22092
[Journal Article] Economic Evaluation of Cryptocurrency Investment2021
- Author(s)
  Sakemoto Ryuta
- Journal Title
  
  SSRN Electronic Journal
  
  Volume: 3694404 Pages: 1-64
- DOI
  10.2139/ssrn.3694404
- Open Access
- Data Source
  KAKENHI-PROJECT-20K22092
[Journal Article] Risk-Return Trade-Off on the Currency Portfolios2021
- Author(s)
  Byrne Joseph、Sakemoto Ryuta
- Journal Title
  
  SSRN Electronic Journal
  
  Volume: 3231564 Pages: 1-67
- DOI
  10.2139/ssrn.3231564
- Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K22092
[Journal Article] The conditional volatility premium on currency portfolios2021
- Author(s)
  Byrne Joseph P.、Sakemoto Ryuta
- Journal Title
  
  Journal of International Financial Markets, Institutions and Money
  
  Volume: 74 Pages: 101415-101415
- DOI
  10.1016/j.intfin.2021.101415
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K22092
[Journal Article] Multi‐scale inter‐temporal capital asset pricing model2020
- Author(s)
  Sakemoto Ryuta
- Journal Title
  
  International Journal of Finance & Economics
  
  Volume: forthcoming Issue: 4 Pages: 4298-4317
- DOI
  10.1002/ijfe.2372
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-20K22092
[Presentation] コモディティ先物投資の応用2024
- Author(s)
  Ryuta Sakemoto
- Organizer
  日本金融学会 2024年度第1回関東部会
- Data Source
  KAKENHI-PROJECT-22K13430
[Presentation] Prices of Risk Estimation for Commodity Factors2024
- Author(s)
  Ryuta Sakemoto
- Organizer
  日本ファイナンス学会第6回秋季研究大会
- Data Source
  KAKENHI-PROJECT-24K16398
[Presentation] Prices of Risk Estimation for Commodity Factors2024
- Author(s)
  Ryuta Sakemoto
- Organizer
  日本ファイナンス学会
- Data Source
  KAKENHI-PROJECT-22K13430
[Presentation] コモディティ先物投資の応用2024
- Author(s)
  酒本隆太
- Organizer
  日本金融学会 2024年度第1回関東部会
- Data Source
  KAKENHI-PROJECT-24K16398
[Presentation] Conditional currency momentum portfolios2024
- Author(s)
  Ryuta Sakemoto
- Organizer
  日本ファイナンス学会第31回大会
- Data Source
  KAKENHI-PROJECT-22K13430
[Presentation] Conditional Currency Momentum Portfolios2023
- Author(s)
  Ryuta Sakemoto
- Organizer
  日本ファイナンス学会第31回大会
- Data Source
  KAKENHI-PROJECT-22K13430
[Presentation] Risk Premium Decomposition and the Output Gap2022
- Author(s)
  Ryuta Sakemoto
- Organizer
  日本ファイナンス学会第30回記念大会
- Data Source
  KAKENHI-PROJECT-22K13430
[Presentation] The Long-run Risk Premium in the ICAPM: International Evidence2022
- Author(s)
  Ryuta Sakemoto
- Organizer
  2022 Asian Finance Association Annual Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K22092
[Presentation] Economic evaluation of cryptocurrency investment2022
- Author(s)
  Ryuta　Sakemoto
- Organizer
  Annual Event of Finance Research Letters
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-20K22092
[Presentation] The Long-run Risk Premium in the ICAPM: International Evidence2021
- Author(s)
  Ryuta Sakemoto
- Organizer
  日本ファイナンス学会第３回秋季研究大会
- Data Source
  KAKENHI-PROJECT-20K22092

1. 浅野貴央 (40423157)

# of Collaborated Projects: 1 results

# of Collaborated Products: 1 results
2. 蔡暁静 (90822908)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Sakemoto Ryuta 酒本 隆太

Research Projects

Research Products

Co-Researchers

The Impact of Ambiguity on Economic Activity, Financial Markets, and Investment Behavior: Theory and Evidence

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Risk premium and factor investmentPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

The relationship between economic conditions and portfolio riskPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

Risk and return relationships in the financial marketsPrincipal Investigator

Principal Investigator

Project Period (FY)

Research Category

Review Section

Research Institution

[Journal Article] Commodity correlation risk2025

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Time‐varying group common factors in the stock market anomalies2025

Author(s)

Journal Title

DOI

Data Source

[Journal Article] USD Interest Rate Swaption Strategies During the Unconventional Monetary Policy and Pandemic Eras2025

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Conditional currency momentum portfolios2025

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Stochastic ESG scores and nonpecuniary ESG preferences: An extension to CAPM2025

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Swaption and term structures of volatility risk premiums2024

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Risk price decomposition and the output gap2024

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Global foreign exchange volatility, ambiguity, and currency carry trades2024

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Cross-momentum strategies in the equity futures and currency markets2024

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Cross-sectional reversal portfolios in the cryptocurrency market: Behavioral approaches2024

Author(s)

Journal Title

DOI

Data Source

[Journal Article] Commodity Sectors and Factor Investment Strategies2024

Author(s)

Sakemoto Ryuta 酒本隆太