We are greatly appreciative to the following people for their advice on various aspects of this paper—most notably, regarding the thorny issue of constructing reliable proxies for trading costs applicable to institutional investors: Henk Berkman, Stephen Brown, Carole Commerton-Forde, Ray da Silva-Rosa, Doug Foster, Bruce Grundy, Allaudeen Hameed, Bing Liang, Lasse Pedersen, Tom Smith, Gary Twite, and Terry Walter. We are also thankful for advice from Leigh Sneddon, Managing Director, Blackrock, and Clare Rowsell, Head of Client Relationship Management, ITG Asia Pacific. We also benefit greatly from many helpful comments and suggestions from an anonymous referee.
ARE PAIRS TRADING PROFITS ROBUST TO TRADING COSTS?
Version of Record online: 1 JUN 2012
© 2012 The Southern Finance Association and the Southwestern Finance Association
Journal of Financial Research
Volume 35, Issue 2, pages 261–287, Summer 2012
How to Cite
Do, B. and Faff, R. (2012), ARE PAIRS TRADING PROFITS ROBUST TO TRADING COSTS?. Journal of Financial Research, 35: 261–287. doi: 10.1111/j.1475-6803.2012.01317.x
- Issue online: 1 JUN 2012
- Version of Record online: 1 JUN 2012
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