How Statistical Arbitrage Can Lead to Profits

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Covers how prices react to information, the incentives for bringing information into prices, and the paradox of market efficiency in equilibrium--for investors to work hard keeping markets efficient, they must always be somewhat inefficient at the margin. Uses separate financial market simulation software. Market Design ; Price. Juliane Begenau and Erik Stafford. Response Journal of Political Economy December Lauren CohenJoshua D. Coval and Christopher J.

Business liquidity and market efficiency Environment Business History Entrepreneurship. Finance Globalization Health Care. Finance General Management Marketing. Technology and Operations Management. About the Authors Joshua D. Juliane Begenau and Erik Stafford We decompose bank activities into passive and active components liquidity and market efficiency evaluate the performance of the active components of the bank business model by controlling for passive maturity transformation strategies that can be executed in the capital market.

Over the period —, we find that 1 unlevered bank assets underperform passive portfolios of liquidity and market efficiency U. Treasury bonds; 2 the cost of bank deposits exceeds the cost of bank debt; 3 bank equities have CAPM betas near one, while passive maturity transformation strategies have CAPM betas near zero; and 4 portfolios of bank equities consistently underperform portfolios designed to passively mimic their economic exposures.

The very strong investment performance of passive maturity transformation strategies over this period may mask the underperformance of the specialized bank activities. Begenau, Liquidity and market efficiency, and Erik Stafford.

Malloy While we commend the initiative of Snyder and Welchwe lay out in this short reply why we remain highly confident in our results and our interpretation thereof. We welcome authors to continue to explore the data for themselves and look forward to the new questions they can tackle with it. Cohen, Lauren, Joshua D. Coval, and Christopher J. Publicly traded equities with these characteristics have high risk-adjusted returns after controlling for common factors typically liquidity and market efficiency with value stocks.

Hold-to-maturity accounting of portfolio net asset value eliminates the majority of measured risk. A passive portfolio of small, low EBITDA multiple stocks with modest amounts of leverage and hold-to-maturity accounting of net asset value produces an unconditional return distribution that is highly consistent with that of the pre-fee aggregate private equity index. Cite View Details Read Now.

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