Essays about: "matlab jegadeesh"

Found 1 essay containing the words matlab jegadeesh.

  1. 1. Momentum and Contrarian Trading Strategies: Evidence from the Chinese stock market 2000-2010

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Chaoqiong Shi; [2011]
    Keywords : Contrarian effect; Momentum effect; The relative strength portfolio; CAPM model; Overreaction; Underreaction.; Business and Economics;

    Abstract : The paper employs Jegadeesh and Titman (1993)’s overlapping ranking period method to build winner-portfolio and loser-portfolio, and thereafter conducts empirical studies on the momentum and contrarian effects on the Chinese stock market from 2000 to 2010. One thing worth mentioning here is that the author processes the data using her own Matlab codes instead of doing tremendous manual work. READ MORE