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

• المؤلفون الرئيسيون: Koh, Loh Pin, Alfian Mohamed Nor, Lee, Wee Khek
• مؤلفون آخرون: Kang, Joseph Choong Seok
• التنسيق: Final Year Project
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Futures
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/8720
• المؤسسة: Nanyang Technological University

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...