Empirical Investigation of an Equity Pairs Trading Strategy
Author
Abstract
Suggested Citation
DOI: 10.1287/mnsc.2017.2825
Download full text from publisher
References listed on IDEAS
- Bali, Turan G. & Cakici, Nusret & Whitelaw, Robert F., 2011. "Maxing out: Stocks as lotteries and the cross-section of expected returns," Journal of Financial Economics, Elsevier, vol. 99(2), pages 427-446, February.
- Pastor, Lubos & Stambaugh, Robert F., 2003.
"Liquidity Risk and Expected Stock Returns,"
Journal of Political Economy, University of Chicago Press, vol. 111(3), pages 642-685, June.
- Luboš Pástor & Robert F. Stambaugh, "undated". "Liquidity Risk and Expected Stock Returns," CRSP working papers 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Lubos Pastor & Robert F. Stambaugh, 2001. "Liquidity Risk and Expected Stock Returns," NBER Working Papers 8462, National Bureau of Economic Research, Inc.
- Stambaugh, Robert F. & Pástor, Luboš, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
- Tobias J. Moskowitz & Mark Grinblatt, 1999.
"Do Industries Explain Momentum?,"
Journal of Finance, American Finance Association, vol. 54(4), pages 1249-1290, August.
- Tobias J. Moskowitz & Mark Grinblatt, "undated". "Do Industries Explain Momentum?," CRSP working papers 480, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Tobias J. Moskowitz & Mark Grinblatt, "undated". "Do Industries Explain Momentum?," CRSP working papers 352, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Tobias Adrian & Erkko Etula & Tyler Muir, 2014. "Financial Intermediaries and the Cross-Section of Asset Returns," Journal of Finance, American Finance Association, vol. 69(6), pages 2557-2596, December.
- Kewei Hou & Chen Xue & Lu Zhang, 2015. "Editor's Choice Digesting Anomalies: An Investment Approach," The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 650-705.
- Ang, Andrew & Gorovyy, Sergiy & van Inwegen, Gregory B., 2011.
"Hedge fund leverage,"
Journal of Financial Economics, Elsevier, vol. 102(1), pages 102-126, October.
- Andrew Ang & Sergiy Gorovyy & Gregory B. van Inwegen, 2011. "Hedge Fund Leverage," NBER Working Papers 16801, National Bureau of Economic Research, Inc.
- Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006.
"The Cross‐Section of Volatility and Expected Returns,"
Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
- Evan Gatev & William N. Goetzmann & K. Geert Rouwenhorst, 2006.
"Pairs Trading: Performance of a Relative-Value Arbitrage Rule,"
The Review of Financial Studies, Society for Financial Studies, vol. 19(3), pages 797-827.
- Evan Gatev & William N. Goetzmann & K. Geert Rouwenhorst, 1998. "Pairs Trading: Performance of a Relative Value Arbitrage Rule," Yale School of Management Working Papers ysm26, Yale School of Management.
- William N. Goetzmann & Evan Geov Gatev & K. Geert Rouwenhorst, 1998. "Pairs Trading: Performance of a Relative Value Arbitrage Rule," Yale School of Management Working Papers ysm109, Yale School of Management.
- William Goetzmann & Evan g. Gatev & K. Geert Rouwenhorst, 1998. "Pairs Trading: Performance of a Relative Value Arbitrage Rule," Yale School of Management Working Papers ysm3, Yale School of Management.
- Evan G. Gatev & William N. Goetzmann & K. Geert Rouwenhorst, 1999. "Pairs Trading: Performance of a Relative Value Arbitrage Rule," NBER Working Papers 7032, National Bureau of Economic Research, Inc.
- Jegadeesh, Narasimhan, 1990. "Evidence of Predictable Behavior of Security Returns," Journal of Finance, American Finance Association, vol. 45(3), pages 881-898, July.
- Zhi Da & Qianqiu Liu & Ernst Schaumburg, 2014. "A Closer Look at the Short-Term Return Reversal," Management Science, INFORMS, vol. 60(3), pages 658-674, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Adam Korniejczuk & Robert Ślepaczuk, 2024.
"Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market,"
Working Papers
2024-09, Faculty of Economic Sciences, University of Warsaw.
- Adam Korniejczuk & Robert 'Slepaczuk, 2024. "Statistical arbitrage in multi-pair trading strategy based on graph clustering algorithms in US equities market," Papers 2406.10695, arXiv.org.
- Binh Do & Robert Faff, 2021. "Pairs trading and idiosyncratic cash flow risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3171-3206, June.
- Chen, Zilin & Guo, Li & Tu, Jun, 2021. "Media connection and return comovement," Journal of Economic Dynamics and Control, Elsevier, vol. 130(C).
- Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2023.
"International high-frequency arbitrage for cross-listed stocks,"
International Review of Financial Analysis, Elsevier, vol. 89(C).
- Poutré, Cédric & Dionne, Georges & Yergeau, Gabriel, 2021. "International High-Frequency Arbitrage for Cross-Listed Stocks," Working Papers 21-4, HEC Montreal, Canada Research Chair in Risk Management, revised 15 Mar 2022.
- Harvey, Campbell R. & Liu, Yan, 2021. "Lucky factors," Journal of Financial Economics, Elsevier, vol. 141(2), pages 413-435.
- Chenyanzi Yu & Tianyang Xie, 2021. "Multivariate Pair Trading by Volatility & Model Adaption Trade-off," Papers 2106.09132, arXiv.org.
- Yi, Biao & Xiang, Xueman, 2023. "Pair analyst coverage and return comovement: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
- Yang, Jinyu & Dong, Dayong & Cao, Jiawei, 2024. "Seemingly manipulated anomaly: Evidence from corporate site visits," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
- Fernando Caneo & Werner Kristjanpoller, 2021. "Improving statistical arbitrage investment strategy: Evidence from Latin American stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4424-4440, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Kewei Hou & Chen Xue & Lu Zhang, 2017.
"Replicating Anomalies,"
NBER Working Papers
23394, National Bureau of Economic Research, Inc.
- Hou, Kewei & Xue, Chen & Zhang, Lu, 2017. "Replicating Anomalies," Working Paper Series 2017-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
- Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, January.
- Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
- Tran, Vu Le, 2023. "Sentiment and covariance characteristics," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Andrew Y. Chen & Tom Zimmermann, 2022.
"Open Source Cross-Sectional Asset Pricing,"
Critical Finance Review, now publishers, vol. 11(2), pages 207-264, May.
- Chen, Andrew Y. & Zimmermann, Tom, 2020. "Open source cross-sectional asset pricing," CFR Working Papers 20-04, University of Cologne, Centre for Financial Research (CFR).
- Andrew Y. Chen & Tom Zimmermann, 2021. "Open Source Cross-Sectional Asset Pricing," Finance and Economics Discussion Series 2021-037, Board of Governors of the Federal Reserve System (U.S.).
- Zaremba, Adam & Long, Huaigang & Karathanasopoulos, Andreas, 2019. "Short-term momentum (almost) everywhere," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
- Bali, Turan G. & Brown, Stephen J. & Tang, Yi, 2017. "Is economic uncertainty priced in the cross-section of stock returns?," Journal of Financial Economics, Elsevier, vol. 126(3), pages 471-489.
- Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020.
"Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications,"
Journal of Banking & Finance, Elsevier, vol. 115(C).
- Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications," CFR Working Papers 20-01, University of Cologne, Centre for Financial Research (CFR).
- Bui, Dien Giau & Kong, De-Rong & Lin, Chih-Yung & Lin, Tse-Chun, 2023. "Momentum in machine learning: Evidence from the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
- Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Tuneshev, Ruslan, 2018. "Differences in options investors’ expectations and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 315-336.
- French, Declan & Wu, Yuliang & Li, Youwei, 2016. "Identifying the relative importance of stock characteristics," Journal of Multinational Financial Management, Elsevier, vol. 34(C), pages 80-91.
- Atilgan, Yigit & Bali, Turan G. & Demirtas, K. Ozgur & Gunaydin, A. Doruk, 2020. "Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns," Journal of Financial Economics, Elsevier, vol. 135(3), pages 725-753.
- Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2022. "Multivariate crash risk," Journal of Financial Economics, Elsevier, vol. 145(1), pages 129-153.
- Leung, Woon Sau & Evans, Kevin P. & Mazouz, Khelifa, 2020. "The R&D anomaly: Risk or mispricing?," Journal of Banking & Finance, Elsevier, vol. 115(C).
- Ji Cao & Marc Oliver Rieger & Lei Zhao, 2019. "Safety First, Loss Probability, and the Cross Section of Expected Stock Returns," Working Paper Series 2019-02, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- Ince, Baris, 2022. "Liquidity components: Commonality in liquidity, underreaction, and equity returns," Journal of Financial Markets, Elsevier, vol. 60(C).
- Kristoffer Pons Bertelsen, 2022. "The Prior Adaptive Group Lasso and the Factor Zoo," CREATES Research Papers 2022-05, Department of Economics and Business Economics, Aarhus University.
- Bi, Jia & Zhu, Yifeng, 2020. "Value at risk, cross-sectional returns and the role of investor sentiment," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 1-18.
- Bai, Jennie & Bali, Turan G. & Wen, Quan, 2021. "Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1017-1037.
More about this item
Keywords
pairs trading; pairs momentum; industry momentum; short-term reversal;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:ormnsc:v:65:y:2019:i:1:p:370-389. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.