1. Söhnke M. Bartram is with the Lancaster University in Lancaster, UK, and State Street Global Advisors in London, UK.
2. Gregory W. Brown is with the University of North Carolina at Chapel Hill in Chapel Hill, NC.
3. Frank Fehle is with the Statistical Arbitrage group at Citadel Investment Group in Chicago, IL. The views and opinions expressed are those of the authors and do not necessarily reflect those of State Street Global Advisors or Citadel Investment Group.