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From Cointegration to Out-of-Sample Failure: A Pairs-Trading Case Study on PEP-KO
This paper examines whether a cointegration-based pairs trading strategy between PepsiCo and The Coca-Cola Company is statistically robust and economically exploitable. We first test for cointegration and estimate the spread's mean-reversion dynamics over 2013-2018, then hold these statistical param
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