衡平法
动量(技术分析)
交易策略
金融经济学
经济
计量经济学
期限(时间)
业务
物理
政治学
法学
量子力学
作者
Huafeng Chen,Shaojun Chen,Zhuo Chen,Feng Li
出处
期刊:Management Science
[Institute for Operations Research and the Management Sciences]
日期:2017-09-25
卷期号:65 (1): 370-389
被引量:69
标识
DOI:10.1287/mnsc.2017.2825
摘要
We show that an equity pairs trading strategy generates large and significant abnormal returns. We find that two components of the trading signal (i.e., short-term reversal and pairs momentum) have different dynamic and cross-sectional properties. The pairs momentum is largely explained by the one-month version of the industry momentum. Therefore, the pairs trading profits are largely explained by the short-term reversal and a version of the industry momentum. The online appendix is available at https://doi.org/10.1287/mnsc.2017.2825 . This paper was accepted by Lauren Cohen, finance.
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