Abstract

http://ssrn.com/abstract=1656954
 
 

Citations



 


 



Does Simple Pairs Trading Still Work?


Binh Huu Do


Monash University; Financial Research Network (FIRN)

Robert W. Faff


University of Queensland

July 1, 2010

Financial Analysts Journal, Vol. 66, No. 4, pp. 83-95, 2010

Abstract:     
Despite confirming the continuing downward trend in profitability of pairs trading, this study found that the strategy performs strongly during periods of prolonged turbulence, including the recent global financial crisis. Moreover, alternative algorithms combined with other measures enhance trading profits considerably, by 22 bps a month for bank stocks.

Keywords: Portfolio Management, Equity Portfolio Management Strategies, Behavioral Finance, Limits to Arbitrage, Noise-Trader Risk, Quantitative Methods, Correlation Analysis and Regression, Time-Series Analysis

Accepted Paper Series





Not Available For Download

Date posted: August 11, 2010  

Suggested Citation

Do, Binh Huu and Faff, Robert W., Does Simple Pairs Trading Still Work? (July 1, 2010). Financial Analysts Journal, Vol. 66, No. 4, pp. 83-95, 2010. Available at SSRN: http://ssrn.com/abstract=1656954

Contact Information

Binh Huu Do (Contact Author)
Monash University ( email )
Building 11E
Clayton, Victoria 3800
Australia
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

Robert W. Faff
University of Queensland ( email )
St Lucia
Brisbane, Queensland 4072
Australia
Feedback to SSRN


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