Market Closure and Short-Term Reversal
Event details
| Date | 22.01.2018 |
| Hour | 10:30 › 12:00 |
| Speaker | Robert KOSOWSKI (Imperial College London) |
| Location | |
| Category | Conferences - Seminars |
A strategy that buys securities with low past overnight returns and sell securities with high past overnight returns generates sizeable out-of-sample excess returns and Sharpe ratios. This strategy { labelled as overnight-intraday reversal strategy { outperforms the conventional short-term reversal strategy for major international equity markets and futures written on equity indices, interest rates, commodities, and currencies. We find that the cross-sectional return volatility explains the returns from this strategy consistent with time-varying limits to arbitrage. In contrast, traditional risk factors cannot price these excess returns.
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- Free