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Mispricings in Global Energy Markets
| dc.contributor.author | Figuerola Ferretti Garrigues, Isabel Catalina | es-ES |
| dc.contributor.author | Paraskevopoulos, Ioannis | es-ES |
| dc.contributor.author | Tang, Tao | es-ES |
| dc.date.accessioned | 2022-02-24T10:25:36Z | |
| dc.date.available | 2022-02-24T10:25:36Z | |
| dc.identifier.uri | http://hdl.handle.net/11531/66446 | |
| dc.description.abstract | inancial market participants can benefit from understanding how shocks affect equity mispric ings. Energy corporates have been exposed to multiple structural changes over the past decades. This paper applies the pairs trading algorithm of Figuerola-Ferretti et al. (2018) (Journal of Futures Markets, 2018) to analyze mean reversion of cointegrated stocks in global energy equity markets. Using daily data covering the US, Europe and Asia we report positive risk adjusted returns that supersede their corresponding equity index counterparts. Pairs trading profitability is enhanced when filtering stocks with the measure of capital expenditure (CAPEX). | es-ES |
| dc.description.abstract | inancial market participants can benefit from understanding how shocks affect equity mispric ings. Energy corporates have been exposed to multiple structural changes over the past decades. This paper applies the pairs trading algorithm of Figuerola-Ferretti et al. (2018) (Journal of Futures Markets, 2018) to analyze mean reversion of cointegrated stocks in global energy equity markets. Using daily data covering the US, Europe and Asia we report positive risk adjusted returns that supersede their corresponding equity index counterparts. Pairs trading profitability is enhanced when filtering stocks with the measure of capital expenditure (CAPEX). | en-GB |
| dc.format.mimetype | application/pdf | es_ES |
| dc.language.iso | en-GB | es_ES |
| dc.rights | es_ES | |
| dc.rights.uri | es_ES | |
| dc.title | Mispricings in Global Energy Markets | es_ES |
| dc.type | info:eu-repo/semantics/workingPaper | es_ES |
| dc.description.version | info:eu-repo/semantics/draft | es_ES |
| dc.rights.holder | will be published in a joural in this same version | es_ES |
| dc.rights.accessRights | info:eu-repo/semantics/restrictedAccess | es_ES |
| dc.keywords | Mispricings, Energy markets, Energy transition, Pairs trading | es-ES |
| dc.keywords | Mispricings, Energy markets, Energy transition, Pairs trading | en-GB |
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