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

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Author Info
Hogan, Steve
Jarrow, Robert
Teo, Melvyn
Warachka, Mitch

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File URL: http://www.sciencedirect.com/science/article/B6VBX-4CK1Y9X-2/2/a10712b461fb59f66d47c6fbd63e1baf
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 73 (2004)
Issue (Month): 3 (September)
Pages: 525-565
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Handle: RePEc:eee:jfinec:v:73:y:2004:i:3:p:525-565

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Liu, Jun & Timmermann, Allan G, 2009. "Risky Arbitrage Strategies: Optimal Portfolio Choice and Economic Implications," CEPR Discussion Papers 7188, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  2. Georgios Papanastasopoulos & Dimitrios Thomakos & Tao Wang, 2007. "Information in Balance Sheets about Future Stock Returns: Evidence from Net Operating Assets," Working Papers 0009, University of Peloponnese, Department of Economics. [Downloadable!]
  3. Daphna Shwarts-Asher & Uri Ben-zion & Shaul Gabbay & Joseph Yagil, 2006. "Launching a corporate website and market efficiency," Applied Financial Economics, Taylor and Francis Journals, vol. 16(7), pages 551-559, April. [Downloadable!] (restricted)
  4. Chikashi Tsuji, 2005. "Are investors rational in international bond markets?," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(3), pages 169-175, May. [Downloadable!] (restricted)
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