Pairs Trading: Performance of a Relative-Value Arbitrage Rule
测试了华尔街的配对交易策略，利用1962至2002年的日度数据，发现自融资组合的年化超额收益最高可达11%，且利润超过交易成本，表明该策略从暂时性错误定价中获利。
We test a Wall Street investment strategy, "pairs trading, " with daily data over 1962--2002. Stocks are matched into pairs with minimum distance between normalized historical prices. A simple trading rule yields average annualized excess returns of up to 11% for self-financing portfolios of pairs. The profits typically exceed conservative transaction-cost estimates. Bootstrap results suggest that the "pairs" effect differs from previously documented reversal profits. Robustness of the excess returns indicates that pairs trading profits from temporary mispricing of close substitutes. We link the profitability to the presence of a common factor in the returns, different from conventional risk measures. Copyright 2006, Oxford University Press.