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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
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Beyond Fama-French factors : alpha from short-term signals
Blitz, David; Hanauer, Matthias; Honarvar, Iman; … - In: Financial analysts journal : FAJ 79 (2023) 4, pp. 96-117
Persistent link: https://www.econbiz.de/10014427369
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The predictability of stock returns : a cross-sectional simulation
Fluck, Zsuzsanna - In: The review of economics and statistics 79 (1997) 2, pp. 176-183
Persistent link: https://www.econbiz.de/10001222498
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Forward discount bias : is it near-rationality in the foreign exchange market?
Gruen, David W. R. - In: The economic record : er 71 (1995) 213, pp. 157-166
Persistent link: https://www.econbiz.de/10001186623
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Soybean futures crush spread arbitrage : trading strategies and market efficiency
Mitchell, John B. - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 63-96
This paper revisits the soybean crush spread arbitrage work of Simon (1999) by studying a longer time period, wider variety of entry and exit limits, and the risk-return relationship between entry and exit limits. The lengths of winning and losing trades are found to differ systematically, with...
Persistent link: https://www.econbiz.de/10011556002
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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
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Short-term residual reversal
Blitz, David; Huij, Joop; Lansdorp, Simon D.; Verbeek, Marno - In: Journal of financial markets 16 (2013) 3, pp. 477-504
Persistent link: https://www.econbiz.de/10010348522
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The persistence of mutual funds performance : evidence from the UK stock market
Kenourgios, Dimitrios F.; Petropoulos, Ioannis - In: Ekonomia : the journal of the Cyprus Economic Society 7 (2004) 2, pp. 121-138
Persistent link: https://www.econbiz.de/10003267508
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Managerial Discretion in Accruals and Informational Efficiency
Perotti, Pietro - 2017
the 12-month period subsequent to the accrual reporting; hence, future informational efficiency increases with the extent …
Persistent link: https://www.econbiz.de/10012974865
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Managerial discretion in accruals and informational efficiency
Perotti, Pietro; Windisch, David - In: Journal of business finance & accounting : JBFA 44 (2017) 3/4, pp. 375-416
Persistent link: https://www.econbiz.de/10011723397