Individual Research Summaries:
You are required to identify 2
published in the
Journal of Finance
and draft a summary (3 pages, max) that covers the following
elements (First report is due at e
nd of 5
week; second report is due during the 9
How does the strategy work? How does it perform?
What data is required to implement? What data was used to backtest?
the economics behind the strategy? Why does it work? Why are the markets
Are there any implementation issues? Liquidity? Short
Are there environments in
which the strategy will thrive or suffer?