Fama and Blume (1969)tested 24 filters ranging from 0.50% to 50% on each of the 30 DJIA stocks.Among the tested filters:
A)several were profitable before commissions but not after.
B)several were profitable before and after commissions.
C)none were profitable even before commissions.
D)all were profitable before commissions but not after.

Question

Quizplus · Accepted Answer

Fama and Blume found that several filters were profitable before commissions, but not after. This suggests that transaction costs can significantly impact the profitability of trading strategies.

Fama and Blume (1969)tested 24 Filters Ranging from 0