risk-adjusted returns that are twice as large as those of a conventional reversal strategy. Residual reversal strategies …

contrast to results obtained from the static formulation of Almgren and Chriss [J. Risk, 2000, 3, 5-39], when risk is not …

for going short acts as a detector of short-term movements outside the boundaries of specific risk, in order to appraise …

1974 to 2007, we show that the traditional event-study method understates the risk and overstates the abnormal return of …-period analyses and alternative transaction cost measures. The effects of intraday timing and information risk on the PEAD strategy … important to evaluating the risk and return of the strategy. We provide a practical, analytical tool that can be directly …