资源描述：
《Pairs-Trading in the Asian ADR Market 》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、Pairs-TradingintheAsianADRMarketGwangheonHongDepartmentofFinanceCollegeofBusinessandManagementSaginawValleyStateUniverstiy7400BayRoadUniversityCenter,MI48710andRaulSusmelDepartmentofFinanceBauerCollegeofBusinessUniversityofHoustonHouston,TX77204Thisversion:October2003AbstractInthispaper,
2、westudypairs-tradingstrategiesfor64AsianshareslistedintheirlocalmarketsandlistedintheU.S.asADRs.Giventhatallpairsarecointegrated,theyarelogicalchoiceforpairs-trading.Wefindthatpairs-tradinginthismarketdeliverssignificantprofits.Theresultsarerobusttodifferentprofitmeasuresanddifferenthold
3、ingperiods.Forexample,foraconservativeinvestorwillingtowaitforaone-yearperiod,beforeclosingtheportfoliopairs-tradingpositions,pairs-tradingdeliversannualizedprofitsover33%.Pairs-TradingintheAsianADRMarketAbstractInthispaper,westudypairs-tradingstrategiesfor64Asianshareslistedintheirlocal
4、marketsandlistedintheU.S.asADRs.Giventhatallpairsarecointegrated,theyarelogicalchoiceforpairs-trading.Wefindthatpairs-tradinginthismarketdeliverssignificantprofits.Theresultsarerobusttodifferentprofitmeasuresanddifferentholdingperiods.Forexample,foraconservativeinvestorwillingtowaitforao
5、ne-yearperiod,beforeclosingtheportfoliopairs-tradingpositions,pairs-tradingdeliversannualizedprofitsover33%.I.IntroductionPairs-tradingisanoldportfoliomanagementtechniquebasedonaclassichedge:amanagerlooksatstocksinpairs,buyingtheonesheexpectstoperformbestandsellingshorttheonesheexpectsto
6、underperform.Theconcepthasbeengeneralizedtoaccommodatelongandshortportfolioswithdifferentperformanceexpectations.Inthe11980s,hedgefundspopularizedpairs-trading.AccordingtoLowenstein(2000),LTCMlost$286millionduringthe1998Russianfinancialcrisis.Thepairs-tradingstrategy,alsoknownas“statisti
7、calarbitrage”andlooselybasedonthe“LawofOnePrice”,isverysimple:findtwostockswhosepriceshavemovedtogetherhistorically.Whenthespreadbetweenthemwidens,shortthewinnerandbuytheloser.Ifthejointdistributionofthetwostocksisstationary,priceswillconvergeandthearbitrageurwillprofit.“
