Journal of Empirical Finance · VOLUME 38 · December 2016

银行家如何通过只交易两只股票获利百万美元？

作者：Kalle Rinne (Luxembourg School of Finance, University of Luxembourg), Matti Suominen (Department of Finance, Aalto University School of Business)

摘要：本文作者研究了一种利用股市中短期收益反转现象的配对交易策略。使用美国的数据，作者说明了这种交易策略的收益可以超过预计的交易成本，并且在控制了标准的风险因子后，策略可以产生超额收益。其次，使用芬兰的交易级别数据和流行的配对，作者证明了这种策略的收益来自于对提供流动性的补偿。在配对交易期望收益最高的交易日，交易量格外的大，并且从活跃经纪人的净交易中可以看出，近45%的经纪人（或者他们的客户）会根据作者提出的配对交易策略进行交易，这些经纪人是个别不按照作者交易策略交易大量股票的主要交易对手。

关键词：配对交易、短期收益反转、流动性补给

How some bankers made a million by trading just two securities?

Kalle Rinne (Luxembourg School of Finance, University of Luxembourg), Matti Suominen (Department of Finance, Aalto University School of Business)

ABSTRACT

We study a pair trading strategy that utilizes short-term return reversals in the stock market. Using U.S. data, we show that returns to our pair trading strategy exceed reasonable estimates for transaction costs. The strategy also generates positive alpha when controlling for the standard risk factors. Second, using transaction level data from Finland, focusing on a popular pair, we provide evidence that these kinds of pair trading returns are compensation from providing liquidity. On the days when the expected returns to our pair trading strategy are the highest, the trading volume is abnormally high and, judging from active brokers’ net trades, nearly 45% of all brokers (or their customers) engage in pair trading in accordance with our trading strategy. These brokers are mainly counterparties to few brokers that trade large quantities of stocks inconsistent with our strategy.

Keywords: Pair trading; Short-term return reversals; Liquidity provision

原文链接：http://www.sciencedirect.com/science/article/pii/S0927539816301499

翻译：殷曼琳