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Keywords: Statistical arbitrage
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Journal Articles
Journal:
Managerial Finance
Managerial Finance (2016) 42 (5): 449–471.
Published: 09 May 2016
.... Several statistical-arbitrage tests are also carried out in order to examine whether the profitability of the cointegration-based trading strategies could indicate a market inefficiency. Findings – The author shows that under certain parameter specifications, an efficient tracking portfolio is able...
