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• W2187254888 abstract "This paper applies cointegration tests to identify stocks to be used in pairs trading strategies. In addition to estimating long-term equilibrium and to model the resulting residuals, we select stock pairs to compose a pairs trading portfolio based on an indicator of profitability evaluated in-sample. The profitability of the strategy is assessed with data from the Sao Paulo stock exchange ranging from January 2005 to December 2010. Empirical analysis shows that our arbitrage strategy generates high average returns of 16:01% per year, high Sharpe Ratio of 1:28 and low correlation with the market." @default.
• W2187254888 created "2016-06-24" @default.
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• W2187254888 date "2012-01-01" @default.
• W2187254888 modified "2023-09-26" @default.
• W2187254888 title "Selection of a Portfolio of Pairs Based on Cointegration: The Brazilian Case" @default.
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• W2187254888 hasPublicationYear "2012" @default.
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