问题：A Historical Perspective on the International Evidence for Long-Term

Reversals

报告人：Steven Jordan(Korea Advanced Institute of Science and Technology)

时间：5月12日（周二）10:00-11:30am

所在：伟易博新楼217课堂

摘要：This paper reexamines the international long-term reversal evidence. Using a longer time horizon and a larger number of country indices, I show that the results for long-term reversals di_er across methodology, start date, and time horizon. Due to the fact that the major international equity data sets start around the same time, a small period of years accounts for the strong long-term contrarian pro_ts documented in the international literature. When conservative transaction costs are considered, the long-term contrarian anomaly disappears. A _nal implication of this research is that international tests based on data denominated in US dollars may not represent the margin investor.

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