Testing market efficiency using statistical arbitrage with applications to momentum and value strategies

A-Tier
Journal: Journal of Financial Economics
Year: 2004
Volume: 73
Issue: 3
Pages: 525-565

Authors (4)

Hogan, Steve (not in RePEc) Jarrow, Robert (Cornell University) Teo, Melvyn (not in RePEc) Warachka, Mitch (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 4 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

View Full Article View on IDEAS/RePEc

Technical Details

RePEc Handle
repec:eee:jfinec:v:73:y:2004:i:3:p:525-565
Journal Field
Finance
Author Count
4
Added to Database
2026-01-25