Pairs Trading: Performance of a Relative Value Arbitrage Rule

Evan Gatev (), William Goetzmann and K. Rouwenhorst
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Evan Gatev: Boston College - Department of Finance

Yale School of Management Working Papers from Yale School of Management

Abstract: We test a Wall Street investment strategy known as

JEL-codes: G1 (search for similar items in EconPapers)
Date: 1998-11-01
New Economics Papers: this item is included in nep-dev, nep-fin and nep-rmg
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)
Working Paper: Pairs Trading: Performance of a Relative Value Arbitrage Rule (1999)
Working Paper: Pairs Trading: Performance of a Relative Value Arbitrage Rule (1998)
Working Paper: Pairs Trading: Performance of a Relative Value Arbitrage Rule (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:ysm26

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