Hur, Jungshik; Singh, Vivek - In: Review of Quantitative Finance and Accounting 41 (2013) 4, pp. 753-767
We propose a trading strategy based on error correction term (ECT), the residuals from the cointegration relation between the levels of security and the market portfolio. We find that buying stocks in the top 10 % ECT and selling stocks in the bottom 10 % ECT generates 1.09 % a month for...
