Statistical arbitrage and securities prices

• 成果类型: Article
• 署名作者: Bondarenko, O
• 署名单位: University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhg016
• 发表日期: 2003
• 页码: 875
• 关键词: STATE-CONTINGENT CLAIMS; temporal behavior; asset returns; risk-aversion; consumption; MARKET; substitution; preferences; options; habit

摘要

This article introduces the concept of a statistical arbitrage opportunity (SAO). In a finite-horizon economy, a SAO is a zero-cost trading strategy for which (i) the expected payoff is positive, and (ii) the conditional expected payoff in each Final state of the economy is nonnegative. Unlike a pure arbitrage opportunity, a SAO can have negative payoffs provided that the average payoff in each final state is nonnegative. If the pricing kernel in the economy is path independent, then no SAOs can exist. Furthermore, ruling out SAOs imposes a novel martingale-type restriction on the dynamics of securities prices. The important properties of the restriction are that it (1) is model-free, in the sense that it requires no parametric assumptions about the true equilibrium model, (2) can be tested in samples affected by selection biases, such as the peso problem, and (3) continues to hold when investors' beliefs are mistaken. The article argues that one can use the new restriction to empirically resolve the joint hypothesis problem present in the traditional tests of the efficient market hypothesis.