Pairs trading profitability and style investing

  • Sara das Neves Franco (Student)

Student thesis: Master's Thesis

Abstract

This dissertation studies the performance of the pairs trading strategy in the US stock market between 1962 and 2013. We find that this strategy remains profitable up to the current days, though these profits have been gradually falling. We show that investors are able to outperform the pure statistical arbitrage strategy, if they restrict the pairs matching to same-industry stocks, as they benefit from permanent links. Foremost, we find that industry, size, momentum and volatility style investors benefit from this strategy.
Date of Award13 Nov 2014
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorJosé Faias (Supervisor)

Designation

  • Mestrado em Finanças

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