Replicate a so-called Max trading strategy 
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 Bali, Cakici and Whitelaw (2011) find that sorting stocks by their 
     maximum daily returns (MAX) in the previous month could produce a 
     monthly return difference of more than 1% between the lowest and 
     highest MAX deciles.  In addition, the alphas from running Fama-French-Carhart 
     4-factor model for those two extreme portfolios are significantly different. 
     Thus, we could design a profitable trading strategies based on stocks  last month extreme daily returns. 

 Cources of data: stockDaily and stockMonthly.RData from CRSP

 Objectives of this term project (version #1):
   1) Understand how to download data from Yahoo!Finance
   2) Prove or disapprove so-called the max-trading strategy
     
 Objectives of this term project (version s #2 and #3):
   1) Understand the CRSP database
   2) Understand how to use Excel or R to retrieve and process data 
   3) Prove or disapprove so-called the max-trading strategy by 
        replicating Table 1 of Bali et al. (2011).

   Basic logic: According to Bali et al. (2011) some investors like stocks with 
              lottery-type payoffs which have big past returns with a small probability. 
    Period:	July 1962 to December 2005

 Trading strategy: Estimate all stocks  maximum returns in the last month, 
    sort stocks into 10 groups (deciles) according to their last month s 
    maximum daily returns. Long the top decile (winners) and short the 
    bottom decile (losers) for one month. 

 Procedure (for versions #1):
      Step 0: choose your trading strategy, e.g., 
               if ratio > 0.9 long 
               if ratio < 0.1 short

      Step 1: download daily data for one stock 
      Step 2: Estimate the maximum daily returns of the previous month
      Step 3: based on your trading strategy, long or short 
      Step 4: repeat until the last month
      Step 6: test 

Procedure (for versions #3):
	Step 0: Starting month: July 1962
	Step 1: load stockDaily 
	Step 2: Estimate the maximum daily returns of the previous month, i.e., May 1962
	Step 3: Sort all stocks into deciles according to their maximum last month daily returns 
	Step 4: Long the top 10% and short the bottom 10%
	Step 5: load stockMonthly and estimate portfolio returns and their difference
      Step 6: Move to the next month and repeat the above steps until the last month (December, 2005)

  References
     Bali, Turan G., Nusret Cakici, and Robert F. Whitelaw, 2011, Maxing Out: 
        Stocks as Lotteries and the Cross-Section of Expected Returns, Journal 
        of Financial Economics 99 427-446.

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