Short-term return-based contrarian strategies in US future markets : 1987-2002

• Main Authors: Koh, Loh Pin, Alfian Mohamed Nor, Lee, Wee Khek
• 其他作者: Kang, Joseph Choong Seok
• 格式: Final Year Project
• 出版: 2008
• 主題: DRNTU::Business::Finance::Futures
• 在線閱讀: http://hdl.handle.net/10356/8720

In this paper, we document return reversals and investigate short-term contrarian profitability in the US futures markets, on 4 segments consisting of 29 futures contracts. Our methodology closely follows the spirit behind the Lo and MacKinlay (1990) methodology that are used for contrarian strategi...