Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies
This paper introduces the concept of statistical arbitrage, a long horizon trading opportunity that generates a riskless profit and is designed to exploit persistent anomalies. Statistical arbitrage circumvents the joint hypothesis dilemma of traditional market efficiency tests because its definitio...
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| المؤلفون الرئيسيون: | , , , |
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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
2004
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/lkcsb_research/2804 https://ink.library.smu.edu.sg/context/lkcsb_research/article/3803/viewcontent/TestingMarketEfficiency_2003_.pdf |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |