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A factor pricing model based on double moving average strategy

Economics

A factor pricing model based on double moving average strategy

Y. Chen, Y. Fang, et al.

This research introduces a groundbreaking six-factor asset pricing model tailored for the Chinese market, enhancing Liu et al.'s four-factor model with innovative moving average strategies. Conducted by YuZhi Chen, Yi Fang, XinYue Li, and Jian Wei, the findings reveal significant excess returns and robust performance across various economic conditions.

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