research summary

2.2. Individual Research Summaries: 

You are required to identify 2 

practitioner

-

friendly articles

published in the 

Journal of Finance

, 

the 

RFS

, 

the 

JFE

, 

or 

JFQA

, 

and draft a summary (3 pages, max) that covers the following 

elements (First report is due at e

nd of 5

th

week; second report is due during the 9

th

week):

•

Strategy Overview

o

How does the strategy work? How does it perform?

•

Data Requirements

o

What data is required to implement? What data was used to backtest?

•

Discussion

o

What are

the economics behind the strategy? Why does it work? Why are the markets 

inefficient?

•

Commentary

o

Are there any implementation issues? Liquidity? Short

-

sell constraints?

Are there environments in 

which the strategy will thrive or suffer?