Reinganum's trading strategies revisited: Structuring profitable strategies based on updated filters

Keyphrases

• Capital Asset Pricing Model 20%
• Carhart Four-factor Model 20%
• Design Methodology 20%
• Fama-French Five-factor Model 20%
• Filtering Rules 60%
• Large Universe 20%
• Long-short Strategies 20%
• Mixed Filter 20%
• Momentum Factor 20%
• Negative Risk 20%
• Number of Filters 20%
• Portfolio Formation 20%
• Portfolio Size 40%
• Positive Risk 20%
• Return Performance 20%
• Risk-adjusted Returns 20%
• Size Factor 20%
• Thentest 20%
• Trading Strategy 100%
• Value Factor 20%

Social Sciences

• Asset Pricing 50%
• Capital Assets 50%
• Factor Model 100%
• French 50%

Economics, Econometrics and Finance

• CAPM 50%
• Factor Model 100%