Testing market efficiency using statistical arbitrage with applications to momentum and value strategies

Article Abstract:

A long horizon trading opportunity that generates risk- less profit and is designed to exploit persistent anomalies called statistical arbitrage is introduced. The methods to test the statistical arbitrage and empirical investigation are also provided.

Research and Development in the Physical, Engineering, and Life Sciences, Statistics, Methods, Usage, Investment analysis, Securities analysis, Statistics (Mathematics), Mathematical statistics

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Long-horizon regression: theoretical results and applications

Article Abstract:

Ways of conducting long-horizon regression, that are used in empirical finance and macroeconomics, are analyzed. The t-statistic to re-confirm the predictability of returns, is proposed.

Financial analysis, Macroeconomics

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Saving and investing for early retirement: a theoretical analysis

Article Abstract:

The role of portfolio choice and investing for early retirement in increasing savings and decreasing agent's risk aversion is analyzed.

Commercial Banks, Investment Banking and Securities Dealing, Strategy & planning, Forecasts, trends, outlooks, Bank Individual Retirement Accounts, Planning, Forecasts and trends, Market trend/market analysis, Savings, Individual retirement accounts, Company business planning, Early retirement, Portfolio insurance, Risk aversion

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