Browsing by Author "Franco, Sara das Neves"
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- Pairs trading profitability and style investingPublication . Franco, Sara das Neves; Faias, JoséThis dissertation studies the performance of the pairs trading strategy in the US stock market between 1962 and 2013. We find that this strategy remains profitable up to the current days, though these profits have been gradually falling. We show that investors are able to outperform the pure statistical arbitrage strategy, if they restrict the pairs matching to same-industry stocks, as they benefit from permanent links. Foremost, we find that industry, size, momentum and volatility style investors benefit from this strategy.