講座題目：Time Series Momentum and Reversal: Intraday Information from Realized Semivariance

講座時間：2022年12月12日 星期一中午12:30-13:30

講座方式：騰訊會議 ID：614-570-950

密碼：221212

講座鏈接：https://meeting.tencent.com/dm/jMoMKRhWC1rK

主 講 人：

盧尚霖，金融學(xué)博士，對外經(jīng)濟(jì)貿(mào)易大學(xué)金融學(xué)院金融工程系講師，曾赴美國猶他大學(xué)數(shù)學(xué)系進(jìn)行學(xué)術(shù)訪問。主要研究興趣為應(yīng)用計量經(jīng)濟(jì)學(xué)中的結(jié)構(gòu)變點(diǎn)分析、函數(shù)型數(shù)據(jù)分析、隨機(jī)矩陣分析理論來探究實(shí)證資產(chǎn)定價、資產(chǎn)管理領(lǐng)域的問題。其研究成果發(fā)表于Econometric Theory等學(xué)術(shù)期刊。

講座簡介：

Since the seminal work of Moskowitz et al. (2012), the presence of time series momentum has been widely documented in ?nancial markets across asset classes and countries. As the analogue of cross-sectional momentum, time series momentum directly corresponds to prominent rational and behavioral asset pricing theories, which claim that past returns have direct implications for time series predictability of asset returns. In this study, we employ positive and negative realized semivariance to capture the intraday behavior of herding and contrarian investors when time series momentum is experiencing an episode of over-reaction. We ?nd a predictable pattern of the realized semivariance estimators for the returns of commodity futures, particularly during the reversals of time series momentum. Based on this ?nding, we propose a rule-based time series momentum strategy that has a statistically signi?cant higher Sharpe ratio compared to the benchmark of the original time series momentum strategy. The results are robust to di?erent subsamples, various lookback windows, volatility scaling, execution lag, and transaction cost. (This is a joint work with Zhenya Liu, Bo Li, and Shixuan Wang.)