Journal of Finance
Description
Individual Research Summaries:
You are required to identify 2
practitioner
–
friendly articles
published in the
Journal of Finance
,
the
RFS
,
the
JFE
,
or
JFQA
,
and draft a summary (3 pages, max) that covers the following
elements (First report is due at e
nd of 5
th
week; second report is due during the 9
th
week):
•
Strategy Overview
o
How does the strategy work? How does it perform?
•
Data Requirements
o
What data is required to implement? What data was used to backtest?
•
Discussion
o
What are
the economics behind the strategy? Why does it work? Why are the markets
inefficient?
•
Commentary
o
Are there any implementation issues? Liquidity? Short
–
sell constraints?
Are there environments in
which the strategy will thrive or suffer?
