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银色羽毛 · 2025年05月22日

pairs trading必须是一买一卖吗?

NO.PZ2023032701000006

问题如下:

Hartmann is reviewing some possible trades for three stocks in the health care industry based on a pairs-trading strategy. Hartmann’s evaluations are as follows:

HG Health is 15% overvalued.

Corgent Cell Sciences is 10% overvalued.

Johnson Labs is 15% undervalued.

Based on his trading strategy, which of the following should Hartmann recommend?

选项:

A.

Short HG Health and Corgent Cell Sciences

B.

Buy Johnson Labs and Corgent Cell Sciences

C.

Buy Johnson Labs and short Corgent Cell Sciences

解释:

Pairs trading involves buying an undervalued stock and shorting an overvalued stock in the same industry. Hartmann should buy Johnson Labs (15% undervalued) and short Corgent Cell Sciences (10% overvalued).

A不选就是因为不是一买一卖?

1 个答案

王园圆_品职助教 · 2025年05月22日

同学你好,是的,pairs trading就是必须同时有买和卖存在

因为交易的目标是几乎不用自己的本金实现买入低估股票的同时卖空高估的股票的行为,所以必须同时有买和卖存在

不一定是一买一卖,也可以多买多卖,但是金额要匹配,买卖的底层资产要有低估高估并能同时实现价值回归的逻辑存在

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