Portal de Periódicos da CAPES

Does Simple Pairs Trading Still Work?

2010; Taylor & Francis; Volume: 66; Issue: 4 Linguagem: Inglês

10.2469/faj.v66.n4.1

1938-3312

Binh Do, Robert W. Faff,

Auditing, Earnings Management, Governance

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.