Assignment Instructions:
Go to the webpage of Professor Kenneth French following the link below:
https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
Use the equity data provided to design one long-short trading strategy, and answer the following
questions in your project:
1. What is the return of the strategy?
2. What are the risks of the strategy?
3. Does the strategy earn an abnormal return?
4. Why does the strategy earn an abnormal return?
5. What are the caveats in the strategy, e.g., trading costs, etc.?
