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Author: | Hogan, S. (et al.) |
Title: | Testing market efficiency using statistical arbitrage with applications to momentum and value strategies |
Journal: | Journal of Financial Economics
2004 : SEP, VOL. 73:3, p. 525-565 |
Index terms: | Market efficiency Statistical methods Value theory |
Freeterms: | Statistical arbitrage |
Language: | eng |
Abstract: | This article introduces the concept of statistical arbitrage, a trading opportunity for a long horizon that generates a riskless profit and is designed to exploit persistent anomalies. The authors provide a methodology to test for statistical arbitrage and then empirically investigate whether momentum and value trading strategies create statistical arbitrage opportunities. |
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