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SUMMARY:Market Closure and Short-Term Reversal
DTSTART:20180122T103000
DTEND:20180122T120000
DTSTAMP:20260920T164824Z
UID:afd0a420b50b3b6f771ecac55da0d3010afc7c9ad2a9dbb7285200aa
CATEGORIES:Conferences - Seminars
DESCRIPTION:Robert KOSOWSKI (Imperial College London)\nA strategy that buy
 s securities with low past overnight returns and sell securities with high
  past overnight returns generates sizeable out-of-sample excess returns an
 d Sharpe ratios. This strategy { labelled as overnight-intraday reversal s
 trategy { outperforms the conventional short-term reversal strategy for ma
 jor international equity markets and futures written on equity indices\, i
 nterest rates\, commodities\, and currencies. We  find that the cross-sec
 tional return volatility explains the returns from this strategy consisten
 t with time-varying limits to arbitrage. In contrast\, traditional risk fa
 ctors cannot price these excess returns.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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