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Pairs Trading: Performance of a Relative Value Arbitrage Rule

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  • Evan Gatev

    ()
    (Boston College - Department of Finance)

  • William N. Goetzmann

    ()
    (Yale School of Management, International Center for Finance)

  • K. Geert Rouwenhorst

    ()
    (Yale School of Management, International Center for Finance)

Abstract

We test a Wall Street investment strategy known as

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Bibliographic Info

Paper provided by Yale School of Management in its series Yale School of Management Working Papers with number ysm26.

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Date of creation: 01 Nov 1998
Date of revision:
Handle: RePEc:ysm:somwrk:ysm26

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Web page: http://icf.som.yale.edu/
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  1. KENT D. DANIEL & David Hirshleifer & AVANIDHAR SUBRAHMANYAM, 2004. "A Theory of Overconfidence, Self-Attribution, and Security Market Under- and Over-reactions," Finance 0412006, EconWPA.
  2. Bossaerts, Peter, 1988. "Common nonstationary components of asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 347-364.
  3. Charles M. C. Lee & James Myers & Bhaskaran Swaminathan, 1999. "What is the Intrinsic Value of the Dow?," Journal of Finance, American Finance Association, vol. 54(5), pages 1693-1741, October.
  4. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
  5. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
  6. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-64, December.
  7. Chen, Zhiwu & Knez, Peter J, 1995. "Measurement of Market Integration and Arbitrage," Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 287-325.
  8. Mark J Ready, 2002. "Profits from Technical Trading Rules," Financial Management, Financial Management Association, vol. 31(3), Fall.
  9. Petersen, Mitchell A. & Fialkowski, David, 1994. "Posted versus effective spreads *1: Good prices or bad quotes?," Journal of Financial Economics, Elsevier, vol. 35(3), pages 269-292, June.
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