Orientador(es)
Resumo(s)
This paper tests the Pairs Trading strategy as proposed by Gatev, Goetzmann and
Rouwenhorts (2006). It investigates if the profitability of pairs opening after an
above average volume day in one of the assets are distinct in returns characteristics
and if the introduction of a limit on the days the pair is open can improve the
strategy returns. Results suggest that indeed pairs opening after a single sided
shock are less profitable and that a limitation on the numbers of days a pair is open
can significantly improve the profitability by as much as 30 basis points per month.