Empirical Investigation of an Equity Pairs Trading Strategy
研究发现股票配对交易策略能产生显著的超额收益，其利润主要来自短期反转和行业动量两个成分。
We show that an equity pairs trading strategy generates large and significant abnormal returns. We find that two components of the trading signal (i.e., short-term reversal and pairs momentum) have different dynamic and cross-sectional properties. The pairs momentum is largely explained by the one-month version of the industry momentum. Therefore, the pairs trading profits are largely explained by the short-term reversal and a version of the industry momentum. The online appendix is available at https://doi.org/10.1287/mnsc.2017.2825 . This paper was accepted by Lauren Cohen, finance.