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008			230704b |||||||| |||| 00| 0 eng d
040			_aMSU _cMSU _erda
100			_aHUCK, Nicolas
245			_aThe high sensitivity of pairs trading returns
264			_aNew York _bTaylor & Francis _c2013
336			_2rdacontent _atext _btxt
337			_2rdamedia _aunmediated _bn
338			_2rdacarrier _avolume _bnc
440			_aApplied Economics Letters _vVolume , number ,
520			_aPairs trading is a simple and popular relative value trading strategy. This article deals with the most common implementation of the method based on a distance criterion. It demonstrates the high sensitivity of the return to changes in the length of the formation period and shows that a reasonable modification of this parameter may lead to generate positive excess returns which are robust to data snooping. This empirical result underlines the difficulty in understanding pairs trading returns, dynamics and sources of profitability through time.
650			_apairs trading
650			_apairs selection
650			_asensitivity
856			_uhttps://doi.org/10.1080/13504851.2013.802121
942			_2lcc _cJA
999			_c162892 _d162892