Momentum Project

Momentum Project - Candice Ward FIN 5190 Procedure Momentum...

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Candice Ward FIN 5190 Procedure Momentum procedure presupposes that the stocks that perform the best and worst in a given month will continue to move in the same direction in the coming month. Thus, the poorest performer would be shorted in the following month and the long investment would be in the best performer. The data set included the 100 permno’s as converted by CUSIP pulled from January 1990 to January 2008. The return date for the following month, when not available, was calculated as the average return of the available returns. These values were sorted by month and year and the returns for that month. The data outside of the maximum companies and minimum companies was discarded. The data set for the risk-free rate was obtained from Federal Reserve St. Louis. The annual rate given as a percentage was divided by 1200 inside of Matlab to obtain the monthly risk free interest rate. The S&P returns were obtained from Yahoo! Finance and the monthly rate of return was calculated in Excel. Matlab was coded to take the profits from the maximum, the negative value of those
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Momentum Project - Candice Ward FIN 5190 Procedure Momentum...

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