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- Title
PAIRS TRADING AND VALUE INVESTING STRATEGIES.
- Authors
Panyagometh, Kamphol
- Abstract
This research is the study using Stock Exchange of Thailand (SET) information from 2002-2012 in order to test for the application of Pairs Trading and Value Investing strategies on creation of investment portfolio by investing in low price to earnings ratio (P/E) and price to book ratio (P/B) stocks and short-selling of high P/E and P/B stocks, whether this strategy can generate higher returns. The study results indicated that the investment portfolio applying the Pairs Trading strategy could significantly generate higher returns than sole investment portfolio in low PER and PBV stocks for either short or long investment period. However, if the risk was also taken into consideration, the Pairs Trading investment portfolio could still generate higher returns than the compared investment portfolio under risk comparison perspective.
- Publication
International Journal of Business & Economics Perspectives, 2013, Vol 8, Issue 2, p119
- ISSN
1931-907X
- Publication type
Academic Journal