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Full-Text Articles in Business
How Punxsutawney Phil’S Predictions Affect The Stock Market: A Groundhog Day Analysis, Jessica Cuna Zamora
How Punxsutawney Phil’S Predictions Affect The Stock Market: A Groundhog Day Analysis, Jessica Cuna Zamora
CMC Senior Theses
With its roots dating back to 1887, Groundhog Day has cemented itself as a beloved American holiday where people gather to see if Punxsutawney Phil will predict 6 more weeks of winter, or an early arrival of spring. Utilizing the data and methodology framework from Shanaev, Savva, and Fedorova (2021) to test if Groundhog Day predictions have any effect on S&P 500 returns, this paper revisits and revises the analysis in attempt to replicate and improve the original findings with a dummy-variable regression while controlling for other calendar anomalies. Additionally, this study expands the original analysis by including two new …
Returns To Buying Winners And Selling Losers: A Look At Cryptocurrencies, Daniel Walker
Returns To Buying Winners And Selling Losers: A Look At Cryptocurrencies, Daniel Walker
CMC Senior Theses
This paper is, to my knowledge, one of the first ever to examine the effectiveness of price momentum trading strategies applied to cryptocurrencies. Using aggregate OHLCV (Open, High, Low, Close, Volume) data on cryptocurrency pairs from Poloniex, Bittrex, and Bitfinex, I apply Jegadeesh and Titman’s classic -month/-month momentum trading strategy, reporting annual returns with and without incorporating trading fees. Portfolios are resampled daily, weekly, and monthly, testing lookback and holding periods ranging from one day to one year. The results show that trading cryptocurrencies using momentum strategies derives returns that rapidly increase the more often portfolios are resampled, with the …