Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies

Hogan, S., Jarrow, R., Teo, M., & Warachka, M. (2004). Testing Market Efficiency Using Statistical Arbitrage with Applications to Momentum and Value Strategies. Journal of Financial Economics, 73(3), 525-565.

Type

Journal article

Intellectual base

Primary research

Year

2004

Volume

73

Issue

3

Pages

525-565

Link

https://digitalcommons.chapman.edu/business_articles/123/

Cited by

1 citation across 1 artifact.

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Domain-specific

• Statistical relative-value trading
  • Neither term is an exact alias of this narrower entry.

    This sourceInstitutional repository metadata/abstract consulted for terminology boundary only; full paper not used for detailed theory claims.

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