Question
Suppose that you have the data of stock monthly returns from 01/1970 to 12/2020. Now, you are required to form JT (6, 6) and JT
Suppose that you have the data of stock monthly returns from 01/1970 to 12/2020. Now, you are required to form JT (6, 6) and JT (12, 12) momentum strategies, applying the calendar- and event-time approaches. Please describe, for each approach and each strategy, what are the first and last months of portfolio formation? How many formations do you totally make?
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Day Trading Strategies And Risk Management
Authors: Richard N. Williams
1st Edition
979-8863610528
