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Steve Hogan's
Scholarly Papers
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Downloads
3,647 |
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Citations
7 |
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1.
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Steve Hogan
Credit Suisse First Boston Robert A. Jarrow
Cornell University - Samuel Curtis Johnson Graduate School of Management Melvyn Teo
Singapore Management University - School of Business Mitch Warachka
Singapore Management University - School of Business
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25 May 03
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11 Jun 03
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3,495
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Abstract:
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 controlling for transaction costs and the influence of small stocks, we find evidence that these strategies generate statistical arbitrage. Furthermore, their profitability does not appear to decline over time.
market efficiency, statistical arbitrage, arbitrage, momentum, value
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2.
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Implied Measures of Relative Fund Performance
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Steve Hogan
Credit Suisse First Boston Mitch Warachka
Singapore Management University - School of Business
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07 Feb 05
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Last Revised:
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22 Sep 06
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152
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Steve Hogan
Credit Suisse First Boston Mitch Warachka
Singapore Management University - School of Business
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07 Feb 05
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Last Revised:
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22 Sep 06
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152
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Abstract:
We evaluate the relative performance of funds by conditioning their returns on the cross-section of portfolio characteristics across fund managers. Our implied procedure circumvents the need to specify benchmark returns or peer funds. Instead, fund-specific benchmarks for measuring selection and market timing ability are constructed. This technique is robust to herding as well as window dressing and mitigates survivorship bias. Empirically, the conditional information contained in portfolio weights defined by industry sectors, assets and geographical regions is critically important to the assessment of fund management. For each set of portfolio characteristics, we identify funds with success at either selecting securities or timing-the-market.
Performance Measurement, Relative Performance
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