There is something about pairs trading Chng, Michael 2009, There is something about pairs trading, Corporate finance review, vol. 13, no. 5, pp. 27-35. Attached Files Name Description MIMEType Size Downloads Title There is something about pairs trading Author(s) Chng, Michael Journal name Corporate finance review Volume number 13 Issue number 5 Start page 27 End page 35 Total pages 9 Publisher W G & L Financial Reporting & Management Research Place of publication New York, N.Y. Publication date 2009-03 ISSN 1089-327X Summary The process of pairs trading involves exhaustively matching and ranking pairwise stocks based on some prespecified measure of closeness; e.g., correlation, cointegration, sum-of-squared price difference. Pairs trading is popular for various reasons. It is simple to follow and execute. The pairwise portfolio can be nearly market-neutral, such that it does not require the comprehensive analysis of macroeconomic news. Since it is based on relative valuation, the actual worth of individual firms is not a pertinent consideration. The strategy is sufficiently flexible to accommodate various investment styles. Lastly, it does not evoke frequent intraday rebalancing, such that pairs trading can be automated to a certain extent and be cost-feasibly profitable. Despite its long history on Wall Street, pairs trading remains elusive in nature. The academic attention it attracts is modest compared to contrarian and momentum trading. Language eng Field of Research 150201 Finance Socio Economic Objective 900102 Investment Services (excl. Superannuation) HERDC Research category C1 Refereed article in a scholarly journal Copyright notice ©2009, W G & L Financial Reporting & Management Research Persistent URL http://hdl.handle.net/10536/DRO/DU:30022988 Document type: Journal Article Collections: Faculty of Business and Law School of Accounting, Economics and Finance Related Links Link Description Connect to published version (restricted access) Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Tue, 09 Feb 2010, 15:04:42 EST Thu, 11 Feb 2010, 09:46:20 EST Thu, 11 Feb 2010, 09:47:53 EST Thu, 25 Feb 2010, 11:20:25 EST Fri, 09 Apr 2010, 11:19:39 EST Fri, 21 Oct 2011, 09:01:57 EST Fri, 21 Oct 2011, 09:03:28 EST Filtered Full Citation counts:   Cited 0 times in TR Web of Science Cited 0 times in Scopus Search Google Scholar Access Statistics: 1039 Abstract Views, 5 File Downloads  -  Detailed Statistics Created: Tue, 09 Feb 2010, 15:04:40 EST by Katrina Fleming

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