![Overreaction of index futures in Hong Kong [An article from: Journal of Empirical Finance]](https://www.ebooknetworking.net/books/B00/0RQ/bigB000RQZVQK.jpg)
Overreaction of index futures in Hong Kong [An article from: Journal of Empirical Finance]
Book Details
Author(s)A. Kwok-Wah Fung, K. Lam
PublisherElsevier
ISBN / ASINB000RQZVQK
ISBN-13978B000RQZVQ2
MarketplaceFrance 🇫🇷
Description
This digital document is a journal article from Journal of Empirical Finance, published by Elsevier in 2004. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
In this paper we show that the pricing error of index futures relative to its fair value can be used to identify investors' overreaction in index futures market. Specifically, when investors are overly pessimistic (optimistic), the prices of index futures are well below (above) their fair values. When the excess pessimism (optimism) is gone, the prices of index futures revert to catch up with their fair values. After taking into consideration transaction cost, execution time lag, and risk adjustment, profitable strategies can be developed to exploit this overreaction. We find that overreaction exists during intraday trading and market closing.
Description:
In this paper we show that the pricing error of index futures relative to its fair value can be used to identify investors' overreaction in index futures market. Specifically, when investors are overly pessimistic (optimistic), the prices of index futures are well below (above) their fair values. When the excess pessimism (optimism) is gone, the prices of index futures revert to catch up with their fair values. After taking into consideration transaction cost, execution time lag, and risk adjustment, profitable strategies can be developed to exploit this overreaction. We find that overreaction exists during intraday trading and market closing.
