Testing market efficiency using statistical arbitrage with applications to momentum and value strategies
Article Abstract:
A long horizon trading opportunity that generates risk- less profit and is designed to exploit persistent anomalies called statistical arbitrage is introduced. The methods to test the statistical arbitrage and empirical investigation are also provided.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2004
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Long-horizon regression: theoretical results and applications
Article Abstract:
Ways of conducting long-horizon regression, that are used in empirical finance and macroeconomics, are analyzed. The t-statistic to re-confirm the predictability of returns, is proposed.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2003
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Saving and investing for early retirement: a theoretical analysis
Article Abstract:
The role of portfolio choice and investing for early retirement in increasing savings and decreasing agent's risk aversion is analyzed.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2007
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