statistically segmented. Opportunities for arbitrage based on different prices/returns for equivalent risk exposures are … solely by diversification options. This infers a potential for arbitrage (statistically, strategically or in practice) is … statistical arbitrage and the specification of investment behaviour as a function of differencing pricing expectations. These …

Purpose – The purpose of this paper is to re‐examine the sources of momentum profits by focusing on momentum in monthly … – Different from previous studies, it is found that momentum may have multiple sources, and that risk or behavioral biases in … isolation may not be sufficient to explain momentum. Practical implications – The paper's finding that momentum may be at least …

Purpose – The purpose of this paper is to test the performance of momentum strategies and identify the sources of their … profits. Design/methodology/approach – To identify the main source of momentum profits, first, the bootstrap method with … are the main source of momentum profits. Originality/value – To ensure the random effect of the draws, the authors develop …

Purpose – The paper's aim is to explore the impact of statistical arbitrage and high-frequency trading as hedge fund … investment activity based on statistical arbitrage tends to produce a vulnerability; more funds using the strategy helps to …

construction. Several statistical-arbitrage tests are also carried out in order to examine whether the profitability of the … implementing market-neutral strategies with consistent profitability. By testing for statistical arbitrage, the author also … provides new evidence regarding the connection between the profit accumulation of cointegration-based pairs-trading strategies …

specifications are tested, the importance of medium- and long-term momentum effects has been captured to a greater extent. The size …, market leverage and short-term momentum effects still persist even in the case of alternative unconditional and conditional … authors could not include certain important anomalies like net operating assets, change in gross profit margin, external …