本文介绍 Lo and Mackinlay (1989) 提出的时序动量模型 Time Series Momentum (TSM) Model (下称TSM) 与截面动量模型 Cross-Sectional Momentum (CSM) Model (下称CSM), 并利用模型对组合收益率作归因分析. 1. 市场模型 市场模型研究一个跨期问题, 即在第 t 期时, 资产 i 的当期收益率 Ri,t 与第t−...
Together, these allow a study to be called cross-sectional or longitudinal, and, within longitudinal, to be classified as repeated measures or time series. These three different types of study incur different costs and allow different sorts of conclusions to be drawn....
different types of portfolios, and individual stocks: (a) changes in expected returns drive the majority of the time-series volatility in price ratios and unexpected returns, and (b) differences in expected cash flows generate most of the cross-sectional variance in valuations and unexpected returns...
Summary – Time Series vs Cross Sectional Data The difference between time series and cross sectional data is that time series data focuses on the same variable over a period of time while cross sectional data focuses on several variables at the same point of time. Different data types use dif...
B.time-series momentum strategy. C.cross-sectional momentum strategy. 解释: C is correct. The strategy under consideration is a managed futures strategy—specifically, a cross-sectional momentum approach. Such an approach is generally implemented with securities in the same asset class, which is cor...
TimeSeries,CrossSectionalAnalysis NoteonARIMAmodelsinStata.WhenStataestimatesandAR-1modelwithno covariates,forinstance,itdoesnotjustputthelaggeddependentvariableontherighthand side.Instead,itusesFGLStoputrhotimesthelagontherighthandside.Notetheslight differencebetweenthesetwomodels,whichisverysmallonlybecauserhois...
横截和时间数列 代表
Cross-sectional asset pricing tests early tests of the CAPM and FF1992 Introduction to time series and forecasting (solutions) Data Quality And Master Data Management big data and ai strategies - machine learning and alternative data approach to investing A Short Course Of Time-Series Analysis And...
We compare the performance of the time-series (TS) and cross-sectional (CS) momentum strategies in the US and China. The CS strategies by default are zero net investment strategies, whereas the TS strategies take on a time-varying net long position in risky assets. In the US, we confirm...
This article reviews the methodologies of testing asset pricing models which are dominantly used in the literature; time-series regression tests and cross-sectional regression tests. We provide some explanations for the test procedure of time-series regression tests and cross-sectional regression tests....