| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7032 |
| 来源ID | Working Paper 7032 |
| Pairs Trading: Performance of a Relative Value Arbitrage Rule | |
| Evan G. Gatev; William N. Goetzmann; K. Geert Rouwenhorst | |
| 发表日期 | 1999-03-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | We test a Wall Street investment strategy known as pairs trading' with daily data over the period 1962 through 1997. Stocks are matched into pairs according to minimum distance in historical normalized price space. We test the profitability of several trading rules with six-month trading periods over the 1962-1997 period, and find average annualized excess returns of up to 12 percent for a number of self-financing portfolios of top pairs. Part of these profits may be due to market microstructure effects. Nevertheless, our historical trading profits exceed a conservative estimate of transaction costs through most of the period. We bootstrap random pairs in order to distinguish pairs trading from pure mean-reversion strategies. The bootstrap results suggest that the pairs' effect differs from previously documented mean reversion profits. |
| URL | https://www.nber.org/papers/w7032 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564554 |
| 推荐引用方式 GB/T 7714 | Evan G. Gatev,William N. Goetzmann,K. Geert Rouwenhorst. Pairs Trading: Performance of a Relative Value Arbitrage Rule. 1999. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w7032.pdf（159KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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