摘要
传统配对交易仅仅依据股票组合的价格信息构建配对模型,存在不收敛的风险。通过将Fama-French多因子资产定价模型纳入配对模型中,在控制其他多个风险因素之后可更好地反映配对股票价格之间的关系,解决了协整方法与资产定价模型融合的问题。实证结果表明基于多因子资产定价模型的配对交易策略能显著提高配对交易的收益和稳定性。
Traditional pair trading relied only on stock price information to build pairing model and there were non-convergent risks. This paper built new pair trading model on the basis of multifactor capital pricing model. By controlling other risk factors, the paper can better reveal pair relationship of pair-stocks, which solved the problem of combining co-integration and capital pricing theory. Empirical study showed that pair trading model based on multifactor capital pricing can substantially improve pair trading profitability and stability.
作者
干伟明
Gan Weiming(Business School,Nanjing University,Nanjing 210093,China)
出处
《金融理论探索》
2018年第6期36-42,共7页
Exploration of Financial Theory
基金
国家自然科学基金项目"非线性降维方法及其在风险管理中的应用"(11071113)
中国特色社会主义经济建设协同创新中心资助项目
关键词
配对交易
统计套利
多因子资产定价模型
协整模型
pair trading
statistical arbitrage
Multifactor Capital Pricing Model
Co-integration Model
