Stock Price Co-Movement and the Foundations of Pairs Trading
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Financial and Quantitative Analysis"
DOI: 10.1017/s0022109018000789
Abstract: We study the theoretical implications of cointegrated stock prices on the profitability of pairs-trading strategies. If stock returns are fairly weakly correlated across time, cointegration implies very high Sharpe ratios. To the extent that the… read more here.
Keywords: pairs trading; foundations pairs; movement foundations; stock price ... See more keywords