Choosing Whether to Lead, Lag, or Match the Market
نویسندگان
چکیده
منابع مشابه
Testing Lead-Lag Effects under Game-Theoretic Efficient Market Hypotheses
A game-theoretic efficient market hypothesis says that a trading strategy will not multiply the capital it risks substantially relative to a specified market index. This implies that the autocorrelation of returns with respect to the index will be small and that a signal x will have approximately the same lead-lag effect on all traded securities. These predictions do not depend on assumptions a...
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ژورنال
عنوان ژورنال: Journal of Human Resources in Hospitality & Tourism
سال: 2007
ISSN: 1533-2845,1533-2853
DOI: 10.1300/j171v07n01_05