Empirical Investigation of an Equity Pairs Trading Strategy
“We show that an equity pairs trading strategy generates large and significant abnormal returns.”
AssetEquities
StrategyPairs tradingshort-term reversal
ClaimAlphaprofit
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPairs trading and statistical arbitrage by year
FamilyPairs trading and statistical arbitrage93Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 909
AssetEquities51
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