Investment Performance

Paskalis Glabadanidis

Chapter Chapter 2 in Market Timing and Moving Averages, 2015, pp 5-29 from Palgrave Macmillan

Abstract: Abstract In this chapter I use daily value-weighted1 returns of sets of ten portfolios sorted by market value, book-to-market, momentum, short-term and long-term price reversal, and industry classification. The data is readily available from Ken French Data Library. The sample period starts on January 4, I960, and ends on December 31, 2013.

Keywords: Abnormal Return; Moving Average; Risky Asset; Excess Return; Sharpe Ratio (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-35983-4_2

Ordering information: This item can be ordered from
http://www.palgrave.com/9781137359834

DOI: 10.1057/9781137359834_2

Access Statistics for this chapter

More chapters in Palgrave Macmillan Books from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().