Federal ID: 91-6001537
ISSN: 0022-1090 (Print) | 1756-6916 (Online)
Anomaly Discovery and Arbitrage Trading
Xi Dong, Qi Liu, Lei Lu, Bo Sun, and Hongjun Yan ♦ We analyze a model in which an anomaly is unknown to arbitrageurs until its discovery, and test the model implications on both asset prices and arbitrageurs’ trading activities. Using data on 99…