APPLICATION OF EXTREME VALUE THEORY AND FUNDAMENTAL ANALYSIS IN LONG-SHORT STRATEGIES: AN ANALYSIS OF PAIR TRADINGS IN THE BRAZILIAN MARKET
In recent decades, the number of funds has increased which aim to explore market inefficiencies through arbitrage strategies, among which the long-short strategy stands out. A large part of the analyses used to obtain the pair tradings, however, does not consider the extreme deviations that exist in...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Conselho Federal de Contabilidade (CFC)
2014-09-01
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| Series: | Revista de Educação e Pesquisa em Contabilidade |
| Subjects: | |
| Online Access: | http://repec.org.br/index.php/repec/article/view/1109 |