Binh Huu Do

Monash University

Dr

Building 11E

Clayton, Victoria 3800

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

7

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SSRN RANKINGS

Top 19,821

in Total Papers Downloads

2,386

CITATIONS
Rank 32,109

SSRN RANKINGS

Top 32,109

in Total Papers Citations

17

Scholarly Papers (7)

Cointegration and Relative Value Arbitrage

29th Australasian Finance and Banking Conference 2016
Number of pages: 44 Posted: 22 Aug 2016 Last Revised: 21 Sep 2016
Binh Huu Do and Robert W. Faff
Monash University and University of Queensland
Downloads 807 (28,729)

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Relative Value Arbitrage, Convergence Trading, Statistical Arbitrage, Pairs Trading, Cointegration, Law of One Price

Cointegration and Relative Value Arbitrage

Number of pages: 42 Posted: 29 May 2016 Last Revised: 19 Aug 2016
Binh Huu Do and Robert W. Faff
Monash University and University of Queensland
Downloads 542 (49,092)

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Relative value arbitrage, convergence trading, statistical arbitrage, pairs trading, cointegration, Law of One Price

2.

Are Pairs Trading Profits Robust to Trading Costs?

Number of pages: 37 Posted: 11 Nov 2010 Last Revised: 02 Oct 2012
Binh Huu Do and Robert W. Faff
Monash University and University of Queensland
Downloads 976 (22,276)
Citation 4

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pairs trading, law of one price, trading costs, short-term reversal, contrarian strategies

3.

Liquidity Provision and Informed Trading by Individual Investors

Pacific-Basin Finance Journal, Forthcoming, 2014 Financial Markets & Corporate Governance Conference
Number of pages: 45 Posted: 31 Jan 2014 Last Revised: 07 Feb 2015
La Trobe University, Monash University, Monash University - Department of Banking and Finance and La Trobe Business School
Downloads 33 (451,201)

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Individual investors, Future stock returns, Algorithmic trading, Liquidity provision, Informed trading

4.

Relative Performance of Dynamic Portfolio Insurance Strategies: Australian Evidence

Accounting and Finance, Vol. 42, pp. 279-296, 2002
Number of pages: 18 Posted: 07 May 2003
Binh Huu Do
Monash University
Downloads 26 (485,395)
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5.

Does the 2008 Short Sale Ban Affect the Enforcement of the Law of One Price? Evidence from Australia

Accounting & Finance, Vol. 52, Issue 1, pp. 117-144, 2012
Number of pages: 28 Posted: 17 Jan 2012
Binh Huu Do, Viet Minh Do and Daniel Chai
Monash University, Monash University - Department of Accounting and Monash University
Downloads 2 (636,577)
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Law of One Price, Pairs trading, The 2008 short sale ban, G11, G12, G14

6.

Co-Existence of Short-Term Reversals and Momentum in the Australian Equity Market

Australian Journal of Management, Vol. 41, No. 1, 2016
Posted: 29 Jan 2016
Daniel Chai and Binh Huu Do
Monash University and Monash University

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industry momentum, liquidity, momentum, short-term reversals

7.

Does Simple Pairs Trading Still Work?

Financial Analysts Journal, Vol. 66, No. 4, pp. 83-95, 2010
Posted: 11 Aug 2010
Binh Huu Do and Robert W. Faff
Monash University and University of Queensland

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