Working Paper

An Anatomy of Pairs Trading: The Role of Idiosyncratic News, Common Information, and Liquidity.

Author(s)

Joey Engleberg

Paul Gao

Ravi Jagannathan

Date Published: 2009
Citations: Engleberg, Joey, Paul Gao, Ravi Jagannathan. 2009. An Anatomy of Pairs Trading: The Role of Idiosyncratic News, Common Information, and Liquidity..