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Cited by 783

The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.

Pairs Trading: Performance of a Relative-Value Arbitrage Rule

Gatev, Evan, Goetzmann, William N., Rouwenhorst, K. Geert·2006·Review of Financial Studies
DOI 10.1093/rfs/hhj020
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Abstract

We test a Wall Street investment strategy, “pairs trading,” with daily data over 1962–2002. Stocks are matched into pairs with minimum distance between normalized historical prices. A simple trading rule yields average annualized excess returns of up to 11% for self-financing portfolios of pairs. The profits typically exceed conservative transaction-cost estimates. Bootstrap results suggest that the “pairs” effect differs from previously documented reversal profits. Robustness of the excess returns indicates that pairs trading profits from temporary mispricing of close substitutes. We link the profitability to the presence of a common factor in the returns, different from conventional risk measures.

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Metadata

Authors
Gatev, E., Goetzmann, W. N., & Rouwenhorst, K. G.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2006
Volume
19
Issue
3
Pages
797-827
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhj020
OpenAlex
W3122010751
Cited by
783
References
4
FWCI
30.09
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Pairs Trading: Performance of a Relative-Value Arbitrage Rule. https://app.cochat.ai/papers/10.1093/rfs/hhj020
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Gatev, E., Goetzmann, W. N., & Rouwenhorst, K. G. (2006). Pairs Trading: Performance of a Relative-Value Arbitrage Rule. Review of Financial Studies. https://doi.org/10.1093/rfs/hhj020

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.