We improve upon the power of the statistical arbitrage test in Hogan, Jarrow, Teo, and Warachka (2004). Our methodology also allows for the evaluation of return anomalies under weaker assumptions. We then compare strategies based on their convergence rates to arbitrage and identify strategies...

Purpose – The case focuses on Martas Precision Slides, a late entrant in the growing furniture fitting market in Taiwan. The company is led by an ambitious and aggressive management team which has helped in achieving phenomenal growth to date. The company management however is now at a...

We find that lottery tax windfalls finance higher state-government expenditures on supplemental security income that increase consumption, but only during bust periods. Wealth transfers from lottery winners to low income households enable fiscal policy to stabilize consumption during bust periods.

The gambler's fallacy [Rabin, M. 2002. Inference by believers in the law of small numbers. <i>Quart. J. Econom.</i> <b>117</b>(3) 775-816] predicts that trends bias investor expectations. Consistent with this prediction, we find that investors underreact to streaks of consecutive earnings surprises with the...

This paper applies the asymmetric autoregressive conditional duration (AACD) model of Bauwens and Giot (2003) to estimate the probability of informed trading (PIN) using irregularly spaced transaction data. We model trade direction (buy versus sell orders) and the duration between trades...