Closed tomz23 closed 1 year ago
Update here: https://github.com/OpenSourceAP/CrossSection/commit/53485730065edc6a6fa5caa573a3d261c15cae16
sinAlgo
.sinAlgo
replicates the stats in table 4A and B quite well, with similar monthly returns (21bps and 24bps) and slightly lower t-stats. Our data are a bit different because our segment data start in 1976.
Patrick Schwarz writes: