주식 롱숏전략(페어트레이드)의 성과: 실제 거래표본 분석

Using the actual transaction data of Korea Exchange, we analyzed the performance of equity long-short strategy(pair trades). Our empirical findings are as follows. First, in our sample, where a series of transactions from opening a pairs trade position until closing it is regarded as an individual case of long-short strategy, about 74% of cases realized profit. The average return of cases in the sample is 1.56% before the transaction costs are subtracted, which implies that the long-short strategy realized excess profit even if we assume the conservative level of transaction costs. Second, the pair type defined by the common feature between the stocks in a pair affect the performance of individual long-short strategy cases. ‘Same business group’ pair showed the highest success rate, followed by ‘common stock/preferred stock’ pair, ‘holding company and affiliate’ pair, and ‘same industry’ pair. Third, liquidation of long positions showed statistically significant positive returns but liquidation of short positions did not show statistically significant return. Fourth, average return of individual long-short strategy cases overall showed statistically significant positive returns across different stock market conditions. This paper is differentiated from previous studies, which analyzed simulated pair trades. By examining a sample of actual pair trades, this paper identifies pair types and investigates the effect of the pair type on the performance of the equity long-short strategy.