| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 961594 | Journal of Financial Markets | 2012 | 34 Pages |
Abstract
⺠We provide a methodology that facilitates empirical tests of market efficiency for return anomalies. ⺠This methodology is able to compare across return anomalies based on their convergence rates to arbitrage. ⺠We find that momentum and value strategies are the most desirable trading opportunities for investors with limited capital.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Robert Jarrow, Melvyn Teo, Yiu Kuen Tse, Mitch Warachka,