It is widely accepted that the required return on investment is regarded as the weighted average cost of capital. The method for deciding whether an investment should be executed relies on the weighted average cost of capital; for example, NPV or IRR is presented in many textbooks as fundamental...

Does arbitrage trading based on a cointegrating relation work? The efficient market hypothesis insists that there exists no successful trading. In order to avoid problems with data snooping, we choose 5 industrial average indices and a market index to make a cointegration analysis between 6...