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Journal of empirical finance, v.57, 2020년, pp.16 - 32
Huang, Jing-Zhi (Smeal College of Business, Pennsylvania State University, University Park) , Huang, Zhijian (James) (Saunders College of Business, Rochester Institute of Technology, LOW-3340)
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Abstract The evidence for the profitability of MA strategies documented in the literature is usually based on non-tradable indices or portfolios/factors and the use of the zero return or risk-free rate as the benchmark. In this paper we implement MA strategies using ETFs and examine the performance...
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