题 目：Return Predictability and Contrarian Profits of International Index Futures
主讲人：谢耀文博士、金融系讲座教授
时 间：6月13日（周二）上午10:00
地 点：浙江大学玉泉校区经济学院236会议室
主办方：浙江大学经济学院
浙江大学工程师学院互联网金融分院
协办方：浙江大学金融研究院
浙江大学应用经济研究中心
嘉宾简介
Dr. Yiuman Tse（谢耀文）, 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 in Review 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.
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.
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