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ARE PAIRS TRADING PROFITS ROBUST TO TRADING COSTS?
16 references·16 citing·36 second hopsampled
ARE PAIRS TRADING PROFITS ROBUST TO TRADING COSTS? (2012)ARE PAIRS TRADING PROFITS ROBUST TO TRADI…Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Pairs Trading: Performance of…Hedge Fund Benchmarks: A Risk-Based Approach (2004)Hedge Fund Benchmarks: A Risk…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…The Statistics of Sharpe Ratios (2002)The Statistics of Sharpe Rati…The market for borrowing stock (2002)The market for borrowing stockUnderstanding the Nature of the Risks and the Source of the Rewards to Momentum Investing (2001)Understanding the Nature of t…Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Have Individual Stocks Become…Characteristics of Risk and Return in Risk Arbitrage (2001)Characteristics of Risk and R…Industry costs of equity (1997)Industry costs of equityThe Limits of Arbitrage (1995)The Limits of ArbitrageThe Behavior of Stock Prices Around Institutional Trades (1995)The Behavior of Stock Prices …Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…When Are Contrarian Profits Due to Stock Market Overreaction? (1990)When Are Contrarian Profits D…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Some anomalous evidence regarding market efficiency (1978)Some anomalous evidence regar…Revealing Pairs-trading opportunities with long short-term memory networks (2021)Revealing Pairs-trading oppor…Pairs Trading in Cryptocurrency Markets (2020)Pairs Trading in Cryptocurren…Enhancing a Pairs Trading strategy with the application of Machine Learning (2020)Enhancing a Pairs Trading str…Testing the efficient market hypothesis in Latin American stock markets (2019)Testing the efficient market …Trading financial indices with reinforcement learning agents (2018)Trading financial indices wit…Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500 (2018)Statistical arbitrage with op…Pairs trading with a mean-reverting jump–diffusion model on high-frequency data (2018)Pairs trading with a mean-rev…Automated trading systems statistical and machine learning methods and hardware implementation: a survey (2018)Automated trading systems sta…Pairs trading with partial cointegration (2017)Pairs trading with partial co…Intraday pairs trading strategies on high frequency data: the case of oil companies (2016)Intraday pairs trading strate…Pairs trading: does volatility timing matter? (2015)Pairs trading: does volatilit…On the determinants of pairs trading profitability (2015)On the determinants of pairs …Costly arbitrage through pairs trading (2015)Costly arbitrage through pair…Pairs trading in the UK equity market: risk and return (2014)Pairs trading in the UK equit…Pairs trading and selection methods: is cointegration superior? (2014)Pairs trading and selection m…Pairs trading based on statistical variability of the spread process (2013)Pairs trading based on statis…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)A five-factor asset pricing model (2014)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)Does the Stock Market Overreact? (1985)Investor Psychology and Security Market Under‐ and Overreactions (1998)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Illiquidity and stock returns: cross-section and time-series effects (2002)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)The distribution of realized stock return volatility (2001)Asymmetric correlations of equity portfolios (2002)Default Risk in Equity Returns (2004)The Econometrics of Financial Markets (2012)Dividend Policy, Growth, and the Valuation of Shares (1961)The Structure of Scientific Revolutions (1963)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Noise Trader Approach to Finance (1990)Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry (1992)Inefficient Markets (2000)Multifactor Explanations of Asset Pricing Anomalies (1996)Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Conditional Skewness in Asset Pricing Tests (2000)Do Industries Explain Momentum? (1999)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Bad Beta, Good Beta (2004)Short interest, institutional ownership, and stock returns (2005)Which Shorts Are Informed? (2007)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1997Industry costs of equity5,793 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
  • 1990When Are Contrarian Profits Due to Stock Market Overreaction?1,707 cited
  • 1978Some anomalous evidence regarding market efficiency1,419 cited
  • 2002The market for borrowing stock1,161 cited
  • 2004Hedge Fund Benchmarks: A Risk-Based Approach1,029 cited
  • 2001Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing1,003 cited
  • 2002The Statistics of Sharpe Ratios842 cited
  • 1995The Behavior of Stock Prices Around Institutional Trades794 cited
  • 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule785 cited
  • 2001

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Characteristics of Risk and Return in Risk Arbitrage
765 cited

Cited by

  • 2018Automated trading systems statistical and machine learning methods and hardware implementation: a survey140 cited
  • 2018Trading financial indices with reinforcement learning agents117 cited
  • 2014Pairs trading and selection methods: is cointegration superior?103 cited
  • 2015On the determinants of pairs trading profitability88 cited
  • 2017Pairs trading with partial cointegration62 cited
  • 2020Enhancing a Pairs Trading strategy with the application of Machine Learning62 cited
  • 2019Testing the efficient market hypothesis in Latin American stock markets53 cited
  • 2014Pairs trading in the UK equity market: risk and return50 cited
  • 2018Pairs trading with a mean-reverting jump–diffusion model on high-frequency data49 cited
  • 2020Pairs Trading in Cryptocurrency Markets47 cited
  • 2021Revealing Pairs-trading opportunities with long short-term memory networks47 cited
  • 2016Intraday pairs trading strategies on high frequency data: the case of oil companies45 cited
  • 2018Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 50044 cited
  • 2013Pairs trading based on statistical variability of the spread process42 cited
  • 2015Costly arbitrage through pairs trading38 cited
  • 2015Pairs trading: does volatility timing matter?31 cited