Do, B and Faff, Robert (2010) Does simple pairs trading still work. Financial Analysts Journal, 66 (4). pp. 83-95. ISSN 0015-198X
Full text not available in this repository. (Request a copy from the Strathclyde author)Official URL: http://dx.doi.org/10.2469/faj.v66.n4.1
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.
| Item type: | Article |
|---|---|
| ID code: | 41067 |
| Keywords: | pairs trading, bank stocks, trading, financial crisis, Accounting |
| Subjects: | Social Sciences > Commerce > Accounting |
| Department: | Strathclyde Business School > Accounting and Finance |
| Related URLs: | |
| Depositing user: | Pure Administrator |
| Date Deposited: | 11 Sep 2012 12:20 |
| Last modified: | 11 Sep 2012 12:20 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/41067 |
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