A Note on the Effectiveness of Pairs Trading for Individual Investors

Fabio Pizzutilo

Makale detayları

A Note on the Effectiveness of Pairs Trading for Individual Investors

Yazarlar:

Fabio Pizzutilo

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2013 Vol.3 Issue 3, pp.763-771

Belge Tipi:

Makale

Yayın Tarihi:

8/2013

Belge Dili:

Türkçe

Document ID (Org No.):

2000814641

Sıklık:

İki Aylık

eISSN:

2146-4138

Özet:

 

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.

Makale detayları

A Note on the Effectiveness of Pairs Trading for Individual Investors

Yazarlar: Fabio Pizzutilo

Yayıncı: İlhan ÖZTÜRK

Dergi: International Journal of Economics and Financial Issues 2013 Vol.3 Issue 3, pp.763-771

Belge Tipi: Makale

Yayın Tarihi: 8/2013

Belge Dili: Türkçe

Document ID (Org No.): 2000814641

Sıklık: İki Aylık

eISSN: 2146-4138

Sayı

Yazarlar:

Fabio Pizzutilo

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2013 Vol.3 Issue 3, pp.763-771

Belge Tipi:

Makale

Yayın Tarihi:

8/2013

Belge Dili:

Türkçe

Document ID (Org No.):

2000814641

Sıklık:

İki Aylık

eISSN:

2146-4138