珞珈金融论坛(第48期)
发布日期:2016-06-28 12:11:09  点击量:

题目:Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return

报告人:Yufeng Han, University of Colorado Denver, Associate Professor of Finance and Risk Management

时间:2016年7月5日(周二) 15:00 ~ 16:30

地点:经管院b228

报告摘要如下:

Based on high frequency data of the S&P 500 ETF from 1993 – 2013, we document an intraday momentum pattern: the first half-hour return on the market predicts the last half-hour return. The predictability, both statistically and economically significant, is stronger on more volatile days, on higher volume days, on recession days, and on major macroeconomic news release days. This intraday momentum is also strong for ten other most actively traded domestic and international ETFs, and two major international equity index futures. Theoretically, the intraday momentum is consistent with the trading behavior of informed traders.

报告人简介:

Yufeng Han目前是University of Colorado Denver商学院的副教授。Yufeng Han1994年毕业于清华大学,1997年在纽约州立大学Buffalo分校获得硕士学位,2003年在华盛顿大学圣路易斯分校获得金融学硕士和博士学位。研究方向主要为:资产定价。在Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis上发表论文十多篇。