Are Pairs Trading Profits Robust to Trading Costs

By B. Do, R. Faff. 2012

163 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/cdeea03e3a209711a5499ee70045dcc0c1c072e4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Bo Liu
2. Helyette Geman
3. Lo-Bin Chang

In Finance

1. Bo Liu
2. Helyette Geman
3. Lo-Bin Chang
4. Conall O’Sullivan
5. Peter Tankov
6. Dilip B Madan 5
7. V. Todorov
8. Gianluca Fusai

Citations in the corpus

• Intraday pairs trading strategies on high frequency data: the case of oil companies (2017, methodology): “Transaction costs mainly consist of commissions, bid-ask spreads and short selling costs (Do and Faff, 2012).”
• Statistical arbitrage pairs trading strategies: Review and outlook (2017, unknown): “Do and Faff (2010, 2012) replicate GGR’s methodology on the U.S. CRSP stock universe, but extend the sample period by seven more years until 2009.”
• Pairs trading in the UK equity market: risk and return (2016, unknown): “More recently, Do and Faff (2012) present US evidence on the effect of transaction costs on strategy profitability.”
• The profitability of pairs trading strategies: distance, cointegration and copula methods (2016, unknown): “In summary, our data-set is consistent with that of Do and Faff (2012).”