Question
The monthly returns for three stocks are as follows: Date AAA BBB CCC Jan-31 -3% 2% 5% Feb-28 3% -4% -2% Mar-31 10% 3% -1%
The monthly returns for three stocks are as follows:
| Date | AAA | BBB | CCC |
|---|---|---|---|
| Jan-31 | -3% | 2% | 5% |
| Feb-28 | 3% | -4% | -2% |
| Mar-31 | 10% | 3% | -1% |
| Apr-30 | -1% | -5% | -3% |
If a momentum strategy by Jagadeesh and Titman (1993) is implemented with (J,K) = (2 months, 2 months) that buys the winner stock and sells the loser stock, what is the momentum return for April?
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The momentum return for April would be the return of the stoc...
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Quantitative Investment Analysis
Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle
3rd edition
111910422X, 978-1119104544, 1119104548, 978-1119104223
