Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies

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...

Full description

Saved in:
Bibliographic Details
Main Authors: HOGAN, Steve, JARROW, Robert, TEO, Melvyn, WARACHKA, Mitchell
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2004
Subjects:
Statistical arbitrage
Market efficiency
Momentum
Value
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/2804
https://ink.library.smu.edu.sg/context/lkcsb_research/article/3803/viewcontent/TestingMarketEfficiency_2003_.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/2804
https://ink.library.smu.edu.sg/context/lkcsb_research/article/3803/viewcontent/TestingMarketEfficiency_2003_.pdf

Similar Items