In Jegadeesh's classic article, both the one factor model and the lead-lag model were used to test the sources of returns for the J/K strategy. Can I assume that the one factor model is a simulation of the continuous observation and holding periods, while the lead lag model is a simulation of the observation and holding periods separated by one week?
Shalini Singh
Yes, you can infer that the one-factor model might simulate continuous observation and holding periods, while the lead-lag model could simulate observation and holding periods separated by one week, offering insights into how the J/T strategy performs under different timeframes and conditions.
1 votes
1 thanks
- Badges
- Science topic
- Similar topics
- Psychology
More Yuning Cao's questions See All
Similar questions and discussions