Comomentum: Inferring Arbitrage Activity from Return Correlations

Academic journals

Publication Date

2021-10-27

Publication Outlet

The Review of Financial Studies

Publication Authors

Dong Lou, Christopher Polk (in press). Comomentum: Inferring Arbitrage Activity from Return Correlations. The Review of Financial Studies, 2021.

doi: 10.1093/rfs/hhab117