Does simple pairs trading still work?

Binh Do*, Robert Faff

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

96 Citations (Scopus)

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 languageEnglish
Pages (from-to)83-95
Number of pages13
JournalFinancial Analysts Journal
Volume66
Issue number4
DOIs
Publication statusPublished - Jul 2010
Externally publishedYes

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