Empirical Investigation of an Equity Pairs Trading Strategy

Published Online:https://doi.org/10.1287/mnsc.2017.2825

References

  • Amihud Y (2002) Illiquidity and stock returns: Cross-section and time-series effects. J. Financial Markets 5(1):31–56.CrossrefGoogle Scholar
  • Ang A, Gorovyy S, Van Inwegen GB (2011) Hedge fund leverage. J. Financial Econom. 102(2):102–126.CrossrefGoogle Scholar
  • Ang A, Hodrick RJ, Xing Y, Zhang X (2006) The cross-section of volatility and expected returns. J. Finance 61(1):259–299.CrossrefGoogle Scholar
  • Adrian T, Etula E, Muir T (2014) Financial intermediaries and the cross-section of asset returns. J. Finance 69(6):2557–2596.CrossrefGoogle Scholar
  • Bali TG, Brown SJ, Tang Y (2017) Disagreement in economic forecasts and expected stock returns. Working paper, Georgetown University, Washington, DC.Google Scholar
  • Bali TG, Cakici N, Whitelaw RF (2011) Maxing out: Stocks as lotteries and the cross-section of expected returns. J. Financial Econom. 99(2):427–446.CrossrefGoogle Scholar
  • Collin-Dufresne P, Daniel K (2015) Liquidity and return reversals. Working paper, Swiss Finance Institute, Lausanne, Switzerland.Google Scholar
  • Da Z, Liu Q, Schaumburg E (2014) A closer look at the short-term return reversal. Management Sci. 60(3):658–674.LinkGoogle Scholar
  • Engelberg J, Gao P, Jagannathan R (2009) An anatomy of pairs trading: The role of idiosyncratic news, common information and liquidity. Working paper, University of California, San Diego, La Jolla.Google Scholar
  • Fama EF (1965) The behavior of stock market prices. J. Bus. 38(1):34–105.CrossrefGoogle Scholar
  • Gatev E, Goetzmann WN, Rouwenhorst KG (2006) Pairs trading: Performance of a relative-value arbitrage rule. Rev. Financial Stud. 19(3):797–827.CrossrefGoogle Scholar
  • Harvey C, Liu Y (2017) Lucky factors. Working Paper, Duke University, Durham, NC.Google Scholar
  • Hou K, Chen X, Zhang L (2015) Digesting anomalies: An investment approach. Rev. Financial Stud. 28(3):650–705.CrossrefGoogle Scholar
  • Hou K, Chen X, Zhang L (2017) A comparison of new factor models. Working paper, Ohio State University, Columbus.Google Scholar
  • Jegadeesh N (1990) Evidence of predictable behavior of security returns. J. Finance 45(3):881–898.CrossrefGoogle Scholar
  • Lehavy R, Sloan RG (2008) Investor recognition and stock returns. Rev. Accounting Stud. 13(2–3):217–361.CrossrefGoogle Scholar
  • Moskowitz TJ, Grinblatt M (1999) Do industries explain momentum? J. Finance 54(4):1249–1290.CrossrefGoogle Scholar
  • Pástor L, Stambaugh RF (2003) Liquidity risk and expected stock returns. J. Political Econom. 111(3):642–685.CrossrefGoogle Scholar
  • Soltes EF (2009) News dissemination and the impact of the business press. Unpublished doctoral dissertation, University of Chicago, Chicago.Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.