Stock Price Co-Movement and the Foundations of Pairs Trading
研究了协整股票价格对配对交易策略盈利能力的理论含义，发现若股票收益时间序列相关性较弱，协整会导致极高的夏普比率，但实证中几乎没有协整证据，表明配对交易利润可能源于更弱或不稳定的依赖结构。
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 theoretical Sharpe ratios are “too large,” our results suggest that either i) cointegration does not exist pairwise among stocks, and pairs-trading profits are a result of a weaker or less stable dependency structure among stock pairs, or ii) the serial correlation in stock returns stretches over considerably longer horizons than is usually assumed. Empirically, there is little evidence of cointegration, favoring the first explanation.