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.
| Original language | English |
|---|---|
| Pages (from-to) | 83-95 |
| Number of pages | 13 |
| Journal | Financial Analysts Journal |
| Volume | 66 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - Aug 2010 |
Keywords
- pairs trading
- bank stocks
- trading
- financial crisis