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Pairs-Trading in the Asian ADR Market
12 references·1 citing·39 second hop
Pairs-Trading in the Asian ADR Market (2004)Pairs-Trading in the Asian ADR MarketMulti-market trading and arbitrage☆ (2010)Multi-market trading and arbi…Efficiency and the Bear: Short Sales and Markets Around the World (2007)Efficiency and the Bear: Shor…Returns on ADRs and arbitrage in emerging markets (2003)Returns on ADRs and arbitrage…When genius failed: the rise and fall of Long-Term Capital Management (2001)When genius failed: the rise …Pairs Trading: Performance of a Relative Value Arbitrage Rule (1999)Pairs Trading: Performance of…Pairs Trading: Performance of a Relative Value Arbitrage Rule (1998)Pairs Trading: Performance of…Why Not Diversify Internationally With ADRs? (1993)Why Not Diversify Internation…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…The seemingly anomalous price behavior of Royal Dutch/Shell and Unilever N.V./PLC (1990)The seemingly anomalous price…Residual risk revisited (1990)Residual risk revisitedEvidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Finding the Optimal Pre-Set Boundaries for Pairs Trading Strategy Based on Cointegration Technique (2010)Finding the Optimal Pre-Set B…Risk, Return, and Equilibrium: Empirical Tests (1973)Law and Finance (1998)The Economic Consequences of Increased Disclosure: Evidence from International Cross-Listings (2002)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Toxic Arbitrage (2016)Anomalies across the globe: Once public, no longer existent? (2019)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)On Persistence in Mutual Fund Performance (1997)Evaluation of pairs-trading strategy at the Brazilian financial market (2009)The profitability of pairs trading strategies: distance, cointegration and copula methods (2016)The Cross-Section of Expected Stock Returns (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The arbitrage theory of capital asset pricing (1976)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)Price Efficiency and Short Selling (2010)Short Selling and the Price Discovery Process (2012)Political Incentives to Suppress Negative Information: Evidence from Chinese Listed Firms (2014)Multifactor Explanations of Asset Pricing Anomalies (1996)Loss protection in pairs trading through minimum profit bounds: A cointegration approach (2006)Comovement After Joining an Index: Spillovers of Nonfundamental Effects (2007)Public Information, IPO Price Formation, and Long‐Run Returns: Japanese Evidence (2009)The capital asset pricing model: Some empirical tests (1972)A Test of the Efficiency of a Given Portfolio (1989)Theory-Based Illiquidity and Asset Pricing (2008)Reference-dependent preferences and the risk–return trade-off (2016)Volatility and the cross-section of corporate bond returns (2019)Liquidity Risk and Expected Stock Returns (2001)Repairing and Enhancing Trust: Approaches to Reducing Organizational Trust Deficits (2010)This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance during the Recent Financial Crisis (2012)Multimarket Trading and Liquidity: Theory and Evidence (2007)Multinationals as Arbitrageurs: The Effect of Stock Market Valuations on Foreign Direct Investment (2008)What explains the dynamics of 100 anomalies? (2015)
this work references cited by second hop

References

  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 2007Efficiency and the Bear: Short Sales and Markets Around the World821 cited
  • 2001When genius failed: the rise and fall of Long-Term Capital Management713 cited
  • 2010Multi-market trading and arbitrage☆271 cited
  • 1990The seemingly anomalous price behavior of Royal Dutch/Shell and Unilever N.V./PLC203 cited
  • 1998Pairs Trading: Performance of a Relative Value Arbitrage Rule203 cited
  • 1990Residual risk revisited187 cited
  • 1999Pairs Trading: Performance of a Relative Value Arbitrage Rule87 cited
  • 2003Returns on ADRs and arbitrage in emerging markets57 cited
  • 1993Why Not Diversify Internationally With ADRs?47 cited

Cited by

  • 2010Finding the Optimal Pre-Set Boundaries for Pairs Trading Strategy Based on Cointegration Technique27 cited

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