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复旦金融论坛第82期:Return Predictability and Contrarian Profits of International Index Futures

  发布日期:2017-06-12  浏览次数:

主 题:Return Predictability and Contrarian Profits of International Index Futures

Abstract:Using futures markets, we find significant lead-lag relationships among 11 industrialized countries. Lagged monthly returns for several countries have return predictability comparable to those in the United States for the 1988-2016 period, complementing the results of Rapach, Strauss, and Zhou (2013). The international futures markets are more correlated in market downturns, while the lead-lag relationships are more significant in market upturns. Consistent with these asymmetric relationships, a contrarian strategy offers significant profits in an up market (in particular, by buying the losers) but not in a down market. The contrarian profits are negatively correlated with the momentum profits and are not captured by a factor model using global equity factors and momentum profits.

主 讲 人:

Yiuman Tse

Ph.D, CFA, FRM, Endowed Chair and Professor of Finance

College of Business Administration

University of Missouri–St. Louis

Dr. Yiuman Tse, Endowed Chair and Professor of Finance at The University of Missouri – St. Louis. He received his BS (Engineering) from the University of Hong Kong, MBA from SUNY-Binghamton, and PhD from Louisiana State University. His research interests are international investments and financial markets. He has articles published inReview of Financial Studies,Journal of Financial and Quantitative Analysis,Journal of Econometrics,Management Science, and others. Dr. Tse has received teaching awards from different universities, including the 2006 President’s Distinguished Achievement Awards for Teaching Excellence at The University of Texas at San Antonio. He is a CFA charterholder and certified Financial Risk Manager.

主 持 人:张金清 教授

新葡萄8883官网amg副院长

时 间:2017年6月12日(星期一),16:30-18:00

地 点:新葡萄8883官网amg514会议室(国权路600号)

主办单位:教育部金融创新研究生开放实验室

新葡萄8883官网amg金融研究院

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