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A Note on the Effectiveness of Pairs Trading for Individual Investors

Year 2013, Volume: 3 Issue: 3, 763 - 771, 01.09.2013

Fabio Pizzutilo

https://izlik.org/JA57DL82EE

Abstract

We investigated the profitability of a simple and easily implementable pairs trading strategy that included trading costs and restrictions to short selling so as to replicate an effective strategy exploitable by an individual investor. Notwithstanding the limitations embodied in our model, pairs trading still works. However, the constraints significantly affect the profitability of the strategy. We found evidence that restrictions to the number of shares that are allowed to be shorted have a relevant impact on the risk profile of the pairs portfolios. Our results support the hypothesis that pairs trading is an equity market neutral investment strategy.

Keywords

Pairs trading market neutral Italian stock market trading strategy statistical arbitrage short selling personal finance

Year 2013, Volume: 3 Issue: 3, 763 - 771, 01.09.2013

Fabio Pizzutilo

https://izlik.org/JA57DL82EE

Abstract

There are 0 citations in total.

Details

Other ID JA27FP79RF
Authors

Fabio Pizzutilo This is me

Publication Date September 1, 2013
IZ https://izlik.org/JA57DL82EE
Published in Issue Year 2013 Volume: 3 Issue: 3

Cite

APA Pizzutilo, F. (2013). A Note on the Effectiveness of Pairs Trading for Individual Investors. International Journal of Economics and Financial Issues, 3(3), 763-771. https://izlik.org/JA57DL82EE
AMA 1.Pizzutilo F. A Note on the Effectiveness of Pairs Trading for Individual Investors. IJEFI. 2013;3(3):763-771. https://izlik.org/JA57DL82EE
Chicago Pizzutilo, Fabio. 2013. “A Note on the Effectiveness of Pairs Trading for Individual Investors”. International Journal of Economics and Financial Issues 3 (3): 763-71. https://izlik.org/JA57DL82EE.
EndNote Pizzutilo F (September 1, 2013) A Note on the Effectiveness of Pairs Trading for Individual Investors. International Journal of Economics and Financial Issues 3 3 763–771.
IEEE [1]F. Pizzutilo, “A Note on the Effectiveness of Pairs Trading for Individual Investors”, IJEFI, vol. 3, no. 3, pp. 763–771, Sept. 2013, [Online]. Available: https://izlik.org/JA57DL82EE
ISNAD Pizzutilo, Fabio. “A Note on the Effectiveness of Pairs Trading for Individual Investors”. International Journal of Economics and Financial Issues 3/3 (September 1, 2013): 763-771. https://izlik.org/JA57DL82EE.
JAMA 1.Pizzutilo F. A Note on the Effectiveness of Pairs Trading for Individual Investors. IJEFI. 2013;3:763–771.
MLA Pizzutilo, Fabio. “A Note on the Effectiveness of Pairs Trading for Individual Investors”. International Journal of Economics and Financial Issues, vol. 3, no. 3, Sept. 2013, pp. 763-71, https://izlik.org/JA57DL82EE.
Vancouver 1.Fabio Pizzutilo. A Note on the Effectiveness of Pairs Trading for Individual Investors. IJEFI [Internet]. 2013 Sep. 1;3(3):763-71. Available from: https://izlik.org/JA57DL82EE