On the determinants of pairs trading profitability

被引：46

作者：

Jacobs, Heiko ^{[1
]}

Weber, Martin ^{[1
]}

机构：

[1] Univ Mannheim, Dept Finance, D-68131 Mannheim, Germany

来源：

JOURNAL OF FINANCIAL MARKETS | 2015年 / 23卷

关键词：

Pairs trading; Relative-value arbitrage; Return predictability; International stock markets; Limited attention; Limits to arbitrage; INVESTOR SENTIMENT; CROSS-SECTION; STOCK; RETURNS; ARBITRAGE; INFORMATION; LIQUIDITY; ATTENTION; RISK; MOMENTUM;

D O I：

10.1016/j.finmar.2014.12.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We perform a large-scale empirical analysis of pairs trading, a popular relative-value arbitrage approach. We start with a cross-country study of 34 international stock markets and uncover that abnormal returns are a persistent phenomenon. We then construct a comprehensive U.S. data set to explore the sources behind the puzzling profitability in more depth. Our findings indicate that the type of news leading to pair divergence, the dynamics of investor attention as well as the dynamics of limits to arbitrage are important drivers of the strategy's time-varying performance. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：75 / 97

页数：23

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