Testing market efficiency using statistical arbitrage with applications to momentum and value strategies

Journal of Financial Economics

Volumn 73, Issue 3, 2004, Pages 525-565

  Hogan, Steve ^a   Jarrow, Robert ^b   Teo, Melvyn ^c,d   Warachka, Mitch ^c  

^a Credit Suisse USA   (United States)

^b The Samuel Curtis Johnson Graduate School of Management   (United States)

^c SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

^d FDO Partners LLC   (United States)

Author keywords

Market efficiency; Momentum; Statistical arbitrage; Value

Indexed keywords

EID: 4344582749     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2003.10.004     Document Type: Article

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