Question: You Will Present Your Trading Strategy. Specifically, You Are Expected To Include Following Points: 1. Motivation: The Economic Intuition Why You Chose That Indicator To Construct A Trading Strategy. 2. Show The Main Steps Of How You Construct Your Trading Strategy, Including Data Selection, Sample Period, The Main Sorting Variable, The Sorting Process …

Question: You Will Present Your Trading Strategy. Specifically, You Are Expected To Include Following Points: 1. Motivation: The Economic Intuition Why You Chose That Indicator To Construct A Trading Strategy. 2. Show The Main Steps Of How You Construct Your Trading Strategy, Including Data Selection, Sample Period, The Main Sorting Variable, The Sorting Process …

You will present your trading strategy. Specifically, you are expected to include following points: 1. Motivation: the econom

Show transcribed image text

Transcribed Image Text from this Question

You will present your trading strategy. Specifically, you are expected to include following points: 1. Motivation: the economic intuition why you chose that indicator to construct a trading strategy. 2. Show the main steps of how you construct your trading strategy, including data selection, sample period, the main sorting variable, the sorting process and models you are going to use. 3. Report the average monthly raw returns of each portfolio (might be terciles, quintiles or other portfolios depending on your setting) and the H-L portfolio (or might be L-H). 4. Report the average monthly abnormal returns of each portfolio and H-L portfolio with t-statistics. 5. Further analysis will be appreciated but not mandatory.