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The Post-Cost Profitability of Momentum Trading Strategies: Further Evidence from the UK

✍ Scribed by Sam Agyei-Ampomah

Book ID
111059121
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
167 KB
Volume
13
Category
Article
ISSN
1354-7798

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The impact of execution delay on the pro
The impact of execution delay on the profitability of put-call-futures trading strategiesβ€”Evidence from Taiwan
✍ Jong-Rong Chiou; Wen-Liang Gideon Hsieh; Yuan-Yi Lin πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 168 KB

## Abstract This study examines the impact of execution delay on the profitability of put‐call‐futures quasi‐arbitrage strategies using trade and quote data in the Taiwanese market. Assuming order execution at the next immediate price following a mispricing signal, the execution of individual compo