保险与金融工程教研室学术讲座

报告题目：Momentum and Reversal on the Short-Term Horizon: Evidence from Commodity Markets
报  告 人：康文津（澳门大学工商管理学院 教授）
主  持 人：康俊卿（williamhill中国 副教授）
时      间：2026年5月26日 （周二） 16: 00
地      址：岭南堂林植宣会议室（103）
语      言：中英文

摘要:
      This paper documents the coexistence of momentum and reversal on the short-term horizon. Utilizing unique investors’ position data from commodity futures markets, we decompose returns into a flow component tied to speculators’ net trading (Q) and an orthogonal residual component (R nonQ) . We find that R nonQ can significantly and positively predict next-week return (short-term return-based momentum), while Q forecasts next-week return in a negative manner (short-term trading-based reversal) . The short-term momentum effect applies to the entire cross-section of sample commodities and also to different subsamples of commodities with different characteristics. Further analysis suggests that this short-term momentum primarily reflects speculators’ trend-chasing trading behavior, which strengthens when volatility is low and when the expected profitability of momentum strategy is high. We also show that short-term momentum signals (R nonQ) can be aggregated to enhance the traditional intermediate term momentum strategy and substantially improve its performance. Moreover, with the help of more granular investors’ position data, we find that the liquidity-based short-term reversal should be characterized as a reversal strategy based on past speculators’ trading rather than past commodity returns. Overall, our study demonstrates that momentum and reversal coexist on the same short-term horizon in commodity markets, overturns the previous canonical“reversal-at-short-horizon, momentum-at-intermediate-horizon” segmented perception, and therefore deepens our understanding about the overall return predictability in financial markets.

报告人介绍：

      Professor Wenjin Kang is the Professor of Finance at the Faculty of Business Administration, University of Macau. Professor Kang’s main research area is asset pricing. Professor Kang has published multiple influential papers on top-tier finance journals, such as the Journal of Finance and the Journal of Financial Economics. 
      Professor Kang also serves as the Head of the Department of Finance and Business Economics and the Leader of the Financial Innovation Research Team at APAEM, University of Macau (UM). According to the UTD website, in terms of the publication on finance top-3 journals, the UM finance group has ranked among the top five Asian universities in 2025. 
        Professor Kang obtained his Bachelor degree from Peking University and his Ph.D. degree from UCLA.

       欢迎感兴趣的师生参加！

【教研室与研究中心简介】
        williamhill中国保险与金融工程教研室于2022年1月成立，由教授、副教授等15名成员组成。研究领域包括保险精算、金融工程、风险管理、社会保障、数字金融与保险、行为金融等。教研室成员曾在Operations Research、Journal of Economic Dynamics and Control、Insurance: Mathematics and Economics、《经济研究》《管理世界》《管理科学学报》等本领域权威期刊发表论文；教研室成员主持过多项国家社科基金重大项目，研究成果获得过多位国家领导人的批示，也获得过教育部高等学校科学研究优秀成果奖（人文社会科学）二等奖等奖项。详情请见链接：/organization/08。
       威廉williamhill金融工程与风险管理研究中心于2003年6月成立，是广东省人文社科重点研究基地，以建设高水平、开放型的金融工程与风险管理研究平台为宗旨，综合运用金融学、经济学、管理学、数学、工程学、行为学等学科的理论、方法和技术，创新性地研究和解决金融发展中遇到的重大理论与实践问题。本中心紧紧围绕科学研究这一主要工作，积极与国内外学者进行学术交流，力争承担重要科研项目、取得高质量科研成果，并为经济金融现实提供决策咨询服务，继而推动相关学科的建设和和发展。研究领域包括：金融工程、风险管理、数字金融、数字保险、数字经济、绿色金融、养老金融、供应链金融、资源配置、资产定价、金融市场、保险精算、决策与对策等。详情请见链接：/cferm/。