This empirical exercise is based on the work by Assess, Moskowitz and Ped-ersen (2013).
Portfolios and factors construction
Let's construct tradable portfolios from the given dataset.
1. Upload data (filename: Assignment2014.xlsx) in the statistical soft-ware package.
2. Data contain monthly closing prices and price to book ratios for a large cross-section of stocks in the US. The first row contains the ticker of any given stock, whereas the second row contains the sector. Blank cells indicate that no data is available for that particular stock at that particular date.
3. Upload Fama-French and momentum factors monthly data from Ken- neth French's website.
4. Form three momentum portfolios following the methodology of Assess, Moskowitz and Pedersen (2013).
5. Form three value portfolios following the methodology of Assess, Moskowitz and Pedersen (2013).
6. Form the union portfolio (combo portfolio, equation (3) of Assess, Moskowitz and Pedersen, 2013).
7. Form the intersection portfolio as following:
- Select those stocks that feature in the High momentum portfolio and in the Low price to book portfolio (portfolio A).
..................
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Portfolios and factors construction
Let's construct tradable portfolios from the given dataset.
1. Upload data (filename: Assignment2014.xlsx) in the statistical soft-ware package.
2. Data contain monthly closing prices and price to book ratios for a large cross-section of stocks in the US. The first row contains the ticker of any given stock, whereas the second row contains the sector. Blank cells indicate that no data is available for that particular stock at that particular date.
3. Upload Fama-French and momentum factors monthly data from Ken- neth French's website.
4. Form three momentum portfolios following the methodology of Assess, Moskowitz and Pedersen (2013).
5. Form three value portfolios following the methodology of Assess, Moskowitz and Pedersen (2013).
6. Form the union portfolio (combo portfolio, equation (3) of Assess, Moskowitz and Pedersen, 2013).
7. Form the intersection portfolio as following:
- Select those stocks that feature in the High momentum portfolio and in the Low price to book portfolio (portfolio A).
..................
View More
Click here to get alike high quality paper