Consistent with public statements made by sophisticated practitioners, we document that the
hedge returns to Sloan's (Sloan, RG 1996. Do stock prices fully reflect information in …

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 …

Of course, our proposal of an algorithm, or dynamic portfolio, as an index is a significant
departure from the norm. Existing indexes such as the S&P 500 are defined as baskets of …

Long–short strategies have generated controversy and institutional interest for more than 10
years. We analyzed the efficiency gains of long–short investing, where we defined efficiency …

“Zero‐investment” strategies typically involve forming a long portfolio in one set of securities
and a short portfolio in another, with the two identified by the use of some trading rule. When …

We consider the optimality of portfolios not subject to short-selling constraints and derive
conditions that a universe of securities must satisfy for an optimal active portfolio to be dollar …

We study the economic importance of accounting information as defined by the value that a
sophisticated investor can extract from publicly available financial statements when …

Enhanced active equity strategies, including 120–20 and 130–30 long–short portfolios, have
become increasingly popular as managers and investors search for new ways to expand the …

This paper considers long-short portfolio optimization in the presence of two risk measures:
variance and Conditional Value at Risk (CVaR) and asset choice constraints of (i) buy, sell …

Form PF is the implementation of Congress's post-crisis mandate for risk reporting by hedge
funds to help protect investors and monitor systemic risk. The authors extend the …