Momentum strategy 12-2 ?
Posted: 24 May 2016 12:01 PM   [ Ignore ]
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Hi

When talking about momentum investing and the portfolios are constructed monthly using prior (2-12) return decile breakpoints. What does that mean when translating to formation period and holding period when building the strategy with crsp data?

Eg. Jeegadesh & Titman use 6x6 refered to the first 6 is 6 month formations period and the last 6 is 6 month holdig period .

Thanks smile.

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Posted: 28 May 2016 11:23 AM   [ Ignore ]   [ # 1 ]
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hi,

I’ve posted your question on the Google group; I’ll post any replies here.

Best Regards,

Joost

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To reply/post new questions: Please use the group WRDS/SAS on Google Groups! http://groups.google.com/d/forum/wrdssas

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