Assignment 6 Spring 2020

Due: May 17, 11:59pm Investments

Submit your assignment in one .pdf/.doc/.docx file. Append your Stata/SAS/R/Python

codes at the end of your assignment if there are any. Please name your assignment as
“A6 StudentID Name”. Email your assignment to TA via (zhangwangruc@ruc.edu.cn).

(StudentID ending in 0-4) Briefly go through the journal article Fama and French (1992).
Please provide a reading summary with respect to the following questions.

1. What is the main results of this paper?

2. Briefly describe authors’ analysis in Table V.

(StudentID ending in 5-9) Briefly go through the journal article Jegadeesh and Titman
(1993). Please provide a reading summary with respect to the following questions.

1. What is the main results of this paper?

2. Briefly describe authors’ analysis in Table I (Pannel A).

Please try to limit your writings to one A4 page, definitely no more than two.

References
Fama, Eugene F. and Kenneth R. French, “The Cross-Section of Expected Stock Re-
turns,” Journal of Finance, 1992, 47 (2), 427–465.

Jegadeesh, Narasimhan and Sheridan Titman, “Returns to Buying Winners and Selling
Losers: Implications for Stock Market Efficiency,” Journal of Finance, 1993, 48 (1),
65–91.