Do Futures Markets Overreact?

摘要：

We examine the profitability of contrarian portfolio strategies of buying past losers and selling past winners at weekly intervals in 24 major U.S. futures markets. We document significant contrarian profits over the one-week horizon. Unlike in equity markets, we show that the contrarian profits arise solely from the negative serial dependence in returns of individual futures contracts. Furthermore, the profits remain significant after corrections for plausible transaction costs in futures trading. Imperfections in market microstructure like bid-ask spread and nonsynchronous trading are trivial in our sampled futures markets. Hence, our results point towards the futures market overreaction.

关键词： Futures markets Return reversals Overreaction Transaction costs

作者: Changyun Wang

作者单位: School of Finance, Renmin University of China NUS Business School, National University of Singapore

会议类型: 国际会议

会议名称: 2006年中国金融国际年会

会议地点: 西安

会议语种:英文

页码: 1-29

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）