Seleção de uma carteira de pares de ações usando cointegração: uma estratégia de arbitragem estatística Outros Idiomas

ID:
10051
Resumo:
Estratégias de arbitragem estatística como pairs trading e suas generalizações dependem da construção de spreads estacionários com certo grau de previsibilidade. Este trabalho aplica testes de cointegração para identificar ativos para serem usados em estratégias de pairs trading. Além de estimar o equilíbrio de longo prazo e de modelar os resíduos resultantes, pares de ações são selecionados baseados em um indicador de lucratividade para compor um portfólio de pares. O retorno da estratégia é avaliado com dados diários da Bovespa durante o período de janeiro de 2005 até outubro de 2012. A análise empírica mostra que a estratégia proposta obtém excessos de retorno da ordem de 16.38% ao ano, índice de Sharpe de 1.34 e baixa correlação com o Ibovespa.
Citação ABNT:
CALDEIRA, J. F.; MOURA, G. V. Selection of a portfolio of pairs based on cointegration: a statistical arbitrage strategy. Revista Brasileira de Finanças, v. 11, n. 1, p. 49-80, 2013.
Citação APA:
Caldeira, J. F., & Moura, G. V. (2013). Selection of a portfolio of pairs based on cointegration: a statistical arbitrage strategy. Revista Brasileira de Finanças, 11(1), 49-80.
Link Permanente:
http://www.spell.org.br/documentos/ver/10051/selecao-de-uma-carteira-de-pares-de-acoes-usando-cointegracao--uma-estrategia-de-arbitragem-estatistica/i/pt-br
Tipo de documento:
Artigo
Idioma:
Inglês
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