讲座题目：Time Series Momentum and Reversal: Intraday Information from Realized Semivariance

讲座时间：2022年12月12日 星期一中午12:30-13:30

讲座方式：腾讯会议 ID：614-570-950

密码：221212

讲座链接：https://meeting.tencent.com/dm/jMoMKRhWC1rK

主 讲 人：

卢尚霖，金融学博士，对外经济贸易大学金融学院金融工程系讲师，曾赴美国犹他大学数学系进行学术访问。主要研究兴趣为应用计量经济学中的结构变点分析、函数型数据分析、随机矩阵分析理论来探究实证资产定价、资产管理领域的问题。其研究成果发表于Econometric Theory等学术期刊。

讲座简介：

Since the seminal work of Moskowitz et al. (2012), the presence of time series momentum has been widely documented in financial 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 find 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 finding, we propose a rule-based time series momentum strategy that has a statistically significant higher Sharpe ratio compared to the benchmark of the original time series momentum strategy. The results are robust to different subsamples, various lookback windows, volatility scaling, execution lag, and transaction cost. (This is a joint work with Zhenya Liu, Bo Li, and Shixuan Wang.)