Browsing NHH Brage by Author "Knyazkina, Liudmila"

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The effect of arbitrage activity in beta and momentum strategies on abnormal trading profits

Knyazkina, Liudmila (Master thesis, 2015)

The purpose of this thesis is to investigate the effect of arbitrage activity on abnormal trading profits based on the new measures of arbitrage proposed by Lou and Polk (2013) and Huang, Lou and Polk (2014), called Comom ...