Testing market efficiency using statistical arbitrage with applications to momentum and value strategies
| Year of publication: |
2004
|
|---|---|
| Authors: | Hogan, Steve ; Jarrow, Robert ; Teo, Melvyn ; Warachka, Mitch |
| Published in: |
Journal of Financial Economics. - Elsevier, ISSN 0304-405X. - Vol. 73.2004, 3, p. 525-565
|
| Publisher: |
Elsevier |