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OpenSourceAP / CrossSection

Code to accompany our paper Chen and Zimmermann (2020), "Open source cross-sectional asset pricing"
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3604626
GNU General Public License v2.0
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Momentum sample start date #101

Closed chenandrewy closed 1 year ago

chenandrewy commented 1 year ago

The signaldoc csv has 1964, but should it be 1965? Table I of Jegadeesh and Titman 1993 says Jan 1965 - Dec 1989

OpenSourceAP commented 1 year ago

Based on footnote 4 in Jegadeesh and Titman (1993), we should not change the start date. Table 1 reports estimate for January 1965 to December 1989 but only because they require a full two-year period for their K=12, J=12 specification. Since we use J=12, K=1, using 1964 as starting year is fine.