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|Title:||Short-term return-based contrarian strategies in US future markets : 1987-2002||Authors:||Koh, Loh Pin
Alfian Mohamed Nor
Lee, Wee Khek
|Keywords:||DRNTU::Business::Finance::Futures||Issue Date:||2003||Abstract:||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 strategies in equity market.||URI:||http://hdl.handle.net/10356/8720||Rights:||Nanyang Technological University||Fulltext Permission:||restricted||Fulltext Availability:||With Fulltext|
|Appears in Collections:||NBS Student Reports (FYP/IA/PA/PI)|
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