Xiang-Long Sun

Cross-Sectional Long-Short Strategies on the S&P 500: Signals, Weighting, and Costs

The paper explores a basic long-short equity strategy on the S&P 500 securities. The central issue is how effective are the past-return signals over the volatility-based ones considering the transaction costs. There were 503 S&P 500 stocks and the monthly closing prices were gathered starting December 1999 to July 2026...