Do, B and Faff, Robert (2010) Does simple pairs trading still work. Financial Analysts Journal, 66 (4). pp. 83-95. ISSN 0015-198XFull text not available in this repository. (Request a copy from the Strathclyde author)
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:||pairs trading, bank stocks, trading, financial crisis, Accounting, Finance, Economics and Econometrics, Accounting|
|Subjects:||Social Sciences > Commerce > Accounting|
|Department:||Strathclyde Business School > Accounting and Finance|
|Depositing user:||Pure Administrator|
|Date Deposited:||11 Sep 2012 11:20|
|Last modified:||24 Feb 2017 05:00|