Redirigiendo al acceso original de articulo en 23 segundos...
ARTÍCULO
TITULO

A Note on the Effectiveness of Pairs Trading for Individual Investors

Fabio Pizzutilo    

Resumen

We investigated the profitability of a simple and easily implementable pairs trading strategy that included trading costs and restrictions to short selling so as to replicate an effective strategy exploitable by an individual investor. Notwithstanding the limitations embodied in our model, pairs trading still works. However, the constraints significantly affect the profitability of the strategy. We found evidence that restrictions to the number of shares that are allowed to be shorted have a relevant impact on the risk profile of the pairs portfolios. Our results support the hypothesis that pairs trading is an equity market neutral investment strategy. Keywords: Pairs trading; market neutral; Italian stock market; trading strategy; statistical arbitrage; short selling; personal finance  JEL Classifications: G11

 Artículos similares

       
 
Cüneyt Ungever     Pág. 25 - 38

 
João Frois Caldeira,Gulherme Valle Moura     Pág. 49 - 80
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean- reverting spreads with a certain degree of predictability. This paper applies cointegration tests to identify stocks to be used in pairs tr... ver más

 
Yolanda Stander,Daniël Marais,Ilse Botha    
AbstractA new approach is proposed to identify trading opportunities in the equity market by using the information contained in the bivariate dependence structure of two equities. The relationships between the equity pairs are modelled with bivariate cop... ver más