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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CITATIONS
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SSRN RANKINGS

Top 30,692

in Total Papers Citations

7

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 795 (28,909)

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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 538 (48,861)

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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 969 (22,185)
Citation 2

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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 32 (449,151)

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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 (478,325)
Citation 4
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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 (624,925)
Citation 1
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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