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Fast and slow arbitrage : fund flows and mispricing in the frequency domain

Peress, Joël; Xi, Dong; Kang, Namho - 2020

Persistent link: https://www.econbiz.de/10012300568

The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy

Zhang, Qi; Cai, Charlie X.; Keasey, Kevin - In: Review of quantitative finance and accounting 43 (2014) 3, pp. 605-625

Persistent link: https://www.econbiz.de/10010490369

Stochastic dominance and Omega ratio : measures to examine market efficiency, arbitrage opportunity, and anomaly

Guo, Xu; Jiang, Xuejun; Wong, Wing Keung - In: Economies : open access journal 5 (2017) 4, pp. 1-16

ratio of one asset is always greater than that of the other one. We extend the theory of risk measures by proving that the …-order risk-seeking SD (RSD) alone for any two prospects is not sufficient to imply Omega ratio dominance insofar that the Omega …. Nonetheless, first-order SD does imply Omega ratio dominance. Thereafter, we apply the theory developed in this paper to examine …

Persistent link: https://www.econbiz.de/10011772356

Beyond the random walk : a guide to stock market anomalies and low risk investing

Singal, Vijay - 2006 - 1. issued as an Oxford pbk.

Persistent link: https://www.econbiz.de/10003982793

Pricing deviation, misvaluation comovement, and macroeconomic conditions

Chang, Eric Chieh; Luo, Yan; Ren, Jinjuan - In: Journal of banking & finance 37 (2013) 12, pp. 5285-5299

Persistent link: https://www.econbiz.de/10010343728

Investment strategy in Brazil's financial market : wide possibilities of choice between risk and return

Feijó, Ricardo - In: International journal of economics and finance 12 (2020) 8, pp. 40-51

Persistent link: https://www.econbiz.de/10012425900

Assessing asset pricing anomalies

Groot, Wilma de - 2017

Persistent link: https://www.econbiz.de/10011862366

What you see is not what you get : the costs of trading market anomalies

Patton, Andrew J.; Weller, Brian M. - 2019

Is there a gap between the profitability of a trading strategy “on paper” and that which is achieved in practice? We answer this question by developing a general technique to measure the real-world implementation costs of financial market anomalies. Our method extends Fama-MacBeth...

Persistent link: https://www.econbiz.de/10012116699

Cryptocurrency return reversals

Kozlowski, Steven E.; Puleo, Michael R.; Zhou, Jizhou - In: Applied economics letters 28 (2021) 11, pp. 887-893

Persistent link: https://www.econbiz.de/10012589685

Short-term residual reversal

Blitz, David; Huij, Joop; Lansdorp, Simon; Verbeek, Marno - In: Journal of Financial Markets 16 (2013) 3, pp. 477-504

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

Persistent link: https://www.econbiz.de/10010869376