Fig. 1: Factor returns and its T value in different moving average terms.
From: A factor pricing model based on double moving average strategy
This figure shows the factor returns of various short-term MAs cross Long-term MAs. The short-term MAs are 1 to 23, and the long-term MAs are 2 to 24. The left side is the factors’ average returns, and the right side is the t values of factors’ average returns. Samples are from Jan 2002 to Jun 2020. The average returns are presented as percentages.
