rbeeli/short-term_momentum_strategy

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Short-term Momentum trading strategy Short-term momentum trading strategy implemented for the lecture "Systematic risk premia strategies traded at hedge funds" at University of Zurich, FS 2018. Overview Implementation in R In accordance to paper Short-term Momentum (Medhat, Schmeling 2021): Monthly pricing data from the Center for Research in Security Prices (CRSP) Sample starts in July, 1963 and ends in December, 2016 All common shares traded on NYSE, AMEX, and Nasdaq Measure short-term momentum...