Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/8720
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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