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- Mon Mar 15, 2021 11:55 am
- Forum: Econometric Discussions
- Topic: Momentum Strategy - Fama French 3 Factors
- Replies: 0
- Views: 414
Dear Econometrics Expert, I would like to test the effectiveness relative strength and residual momentum strategy. In the strategy, overall the steps are: 1. sort the stocks to form a portfolio based on the returns (relative strength) and idiosyncratic return (residual) for J months (formation perio...