Does Faster Mean Reversion Predict Pairs-Trading Profits? Half-Life Evidence from a Replication of Gatev, Goetzmann and Rouwenhorst (2006)

Code, paper (paper/main.pdf), figures, tables and results for a replication of the Gatev, Goetzmann & Rouwenhorst (2006) distance pairs-trading rule on point-in-time S&P 500 data (2000-2025), and a test of whether formation-period mean-reversion half-life predicts out-of-sample pair returns. Half-life predicts returns in the 2000-2012 development sample but fails a pre-specified 2013-2025 holdout. Yahoo Finance price data are not redistributed; scripts regenerate them.