A factor pricing model based on double moving average strategy
Abstract The heterogeneous market hypothesis states that there are different types of investors with different investment term-structures in the stock market. Based on the hypothesis, we analyze the trading strategies of moving averages with different term structures, and we find that the trading st...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Springer Nature
2023-11-01
|
| Series: | Humanities & Social Sciences Communications |
| Online Access: | https://doi.org/10.1057/s41599-023-02362-x |