Go to the webpage of Professor Kenneth French following the link below: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html Use the equity data provided to design one long-short trading strategy, and answer the following questions in your project: 1. What is the return of the strategy? 2. What are the risks of the strategy? 3. Does the strategy earn an abnormal return? 4. Why does the strategy earn an abnormal return? 5. What are the caveats in the strategy, e.g., trading costs, etc.? Use the concepts we have learned in our module to answer the above questions. Use clean diagrams, tables and equations to illustrate your findings, and make sure that you explain clearly the methodology and economic intuition that underlies your calculations.
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