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

• 成果类型: Article
• 署名作者: Hogan, S; Jarrow, R; Teo, M; Warachka, M
• 署名单位: Singapore Management University; Cornell University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2003.10.004
• 发表日期: 2004
• 页码: 525-565
• 关键词: statistical arbitrage; market efficiency; momentum; Value

摘要

This paper introduces the concept of statistical arbitrage, a long horizon trading opportunity that generates a riskless profit and is designed to exploit persistent anomalies. Statistical arbitrage circumvents the joint hypothesis dilemma of traditional market efficiency tests because its definition is independent of any equilibrium model and its existence is incompatible with market efficiency. We provide a methodology to test for statistical arbitrage and then empirically investigate whether momentum and value trading strategies constitute statistical arbitrage opportunities. Despite adjusting for transaction costs, the influence of small stocks, margin requirements, liquidity buffers for the marking-to-market of short-sales, and higher borrowing rates, we find evidence that these strategies generate statistical arbitrage. (C) 2004 Elsevier B.V. All rights reserved.