1 resultado para Conformity in the Market
em CORA - Cork Open Research Archive - University College Cork - Ireland
Filtro por publicador
- KUPS-Datenbank - Universität zu Köln - Kölner UniversitätsPublikationsServer (1)
- Academic Research Repository at Institute of Developing Economies (6)
- Acceda, el repositorio institucional de la Universidad de Las Palmas de Gran Canaria. España (1)
- AMS Tesi di Dottorato - Alm@DL - Università di Bologna (5)
- Aquatic Commons (8)
- Archive of European Integration (257)
- Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco (12)
- Aston University Research Archive (37)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (2)
- BORIS: Bern Open Repository and Information System - Berna - Suiça (17)
- Brock University, Canada (3)
- Bucknell University Digital Commons - Pensilvania - USA (1)
- Bulgarian Digital Mathematics Library at IMI-BAS (2)
- Cambridge University Engineering Department Publications Database (8)
- CentAUR: Central Archive University of Reading - UK (59)
- Chinese Academy of Sciences Institutional Repositories Grid Portal (1)
- Cochin University of Science & Technology (CUSAT), India (3)
- Comissão Econômica para a América Latina e o Caribe (CEPAL) (28)
- CORA - Cork Open Research Archive - University College Cork - Ireland (1)
- Cornell: DigitalCommons@ILR (1)
- Corvinus Research Archive - The institutional repository for the Corvinus University of Budapest (8)
- CUNY Academic Works (1)
- Dalarna University College Electronic Archive (2)
- Deakin Research Online - Australia (67)
- DI-fusion - The institutional repository of Université Libre de Bruxelles (1)
- Digital Archives@Colby (1)
- Digital Commons - Michigan Tech (1)
- Digital Commons @ Center for the Blue Economy - Middlebury Institute of International Studies at Monterey (1)
- Digital Commons at Florida International University (4)
- Digital Peer Publishing (3)
- DigitalCommons@University of Nebraska - Lincoln (1)
- DRUM (Digital Repository at the University of Maryland) (1)
- Duke University (2)
- Fachlicher Dokumentenserver Paedagogik/Erziehungswissenschaften (1)
- Glasgow Theses Service (1)
- Greenwich Academic Literature Archive - UK (1)
- Helda - Digital Repository of University of Helsinki (11)
- Illinois Digital Environment for Access to Learning and Scholarship Repository (1)
- Indian Institute of Science - Bangalore - Índia (1)
- Instituto Nacional de Saúde de Portugal (1)
- Instituto Politécnico do Porto, Portugal (1)
- Ministerio de Cultura, Spain (1)
- Plymouth Marine Science Electronic Archive (PlyMSEA) (2)
- Portal de Revistas Científicas Complutenses - Espanha (1)
- QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast (32)
- Queensland University of Technology - ePrints Archive (80)
- RCAAP - Repositório Científico de Acesso Aberto de Portugal (1)
- Repositório Científico da Universidade de Évora - Portugal (1)
- Repositório Científico do Instituto Politécnico de Lisboa - Portugal (2)
- Repositório digital da Fundação Getúlio Vargas - FGV (27)
- Repositório Institucional UNESP - Universidade Estadual Paulista "Julio de Mesquita Filho" (10)
- Repositorio Institucional Universidad de Medellín (1)
- Repositorio Institucional Universidad EAFIT - Medelin - Colombia (1)
- RUN (Repositório da Universidade Nova de Lisboa) - FCT (Faculdade de Cienecias e Technologia), Universidade Nova de Lisboa (UNL), Portugal (17)
- Universidad de Alicante (1)
- Universidad del Rosario, Colombia (8)
- Universidad Politécnica de Madrid (9)
- Universidade Complutense de Madrid (1)
- Universidade Estadual Paulista "Júlio de Mesquita Filho" (UNESP) (1)
- Universidade Técnica de Lisboa (1)
- Universitätsbibliothek Kassel, Universität Kassel, Germany (2)
- Université de Montréal, Canada (6)
- University of Canberra Research Repository - Australia (4)
- University of Connecticut - USA (2)
- University of Michigan (52)
- University of Queensland eSpace - Australia (29)
- University of Southampton, United Kingdom (7)
- University of Washington (2)
- WestminsterResearch - UK (7)
Resumo:
In this paper, we provide the first comprehensive UK evidence on the profitability of the pairs trading strategy. Evidence suggests that the strategy performs well in crisis periods, so we control for both risk and liquidity to assess performance. To evaluate the effect of market frictions on the strategy, we use several estimates of transaction costs. We also present evidence on the performance of the strategy in different economic and market states. Our results show that pairs trading portfolios typically have little exposure to known equity risk factors such as market, size, value, momentum and reversal. However, a model controlling for risk and liquidity explains a far larger proportion of returns. Incorporating different assumptions about bid-ask spreads leads to reductions in performance estimates. When we allow for time-varying risk exposures, conditioned on the contemporaneous equity market return, risk-adjusted returns are generally not significantly different from zero.