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.