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Illuminating the Profitability of Pairs Trading : A Test of Relative Pricing Efficiency of Markets for Water Utility Stocks
Gutierrez, Jose A. - 2019
This paper examines the profitability of a pairs trading strategy derived solely from historic price dynamics and contrarian principles. We find that the profitability of the self-financing strategy hinges on a cointegrated relationship, which Engle and Granger (1987) show also implies an...
Persistent link: https://www.econbiz.de/10012905960
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Market and prices : theory of consumption, market and market prices
Vojtinskij, Vladimir S. - 1964
Persistent link: https://www.econbiz.de/10000594588
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Volatility modeling in equity and energy markets with applications to derivative pricing, hedging and risk management
Ignatieva, Ekaterina - 2012
Persistent link: https://www.econbiz.de/10009548356
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Essays in economic theory
Becker, Ralf Michael - 2002
Persistent link: https://www.econbiz.de/10003779122
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Market volatility
Shiller, Robert J. - 1989
Persistent link: https://www.econbiz.de/10013481701
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Regulatory uncertainty and share price volatility : the English and Welsh water industry's Periodic Price Review
Morana, Claudio; Sawkins, John W. - In: Journal of regulatory economics 17 (2000) 1, pp. 87-100
Persistent link: https://www.econbiz.de/10001473254
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Stock market volatility of regulated industries : an empirical assessment
Morana, Claudio; Sawkins, John W. - In: Portuguese economic journal 3 (2004) 3, pp. 189-204
Persistent link: https://www.econbiz.de/10002751344
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Wertgenerierung durch M&A-Transaktionen in der internationalen Wasserwirtschaft
Ahnefeld, Martin; Keisers, Maximilian; Schiereck, Dirk - In: Die Unternehmung : Swiss journal of business research … 60 (2006) 6, pp. 427-442
Persistent link: https://www.econbiz.de/10003398078
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Autocorrelation and partial price adjustment
Anderson, Robert M.; Eom, Kyong Shik; Hahn, Sang Buhm; … - In: Journal of empirical finance 24 (2013), pp. 78-93
Persistent link: https://www.econbiz.de/10010371989
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Strategic trade when securitized portfolio values are unknown
Piccotti, Louis R. - In: Journal of banking & finance 115 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012489199