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Profitability of pairs tradings strategy in an illiquid market with multiple share classes

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Profitability of Pairs Trading Strategy In and Illiquid Market with Multiple Share Classes

Broussard, John Paul - 2013

We investigate the practical issues of implementing the self-financing pairs portfolio trading strategy presented by Gatev et al. (2006). We also provide new evidence on the profitability of pairs trading under different weighting structures and trade initiation conditions. Using data from the...

Persistent link: https://www.econbiz.de/10013094033