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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2004
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| Subjects: | |
| 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 |
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| Institution: | Singapore Management University |
| Language: | English |