Calendar Anomalies and Arbitrage

Calendar Anomalies and Arbitrage
Title Calendar Anomalies and Arbitrage PDF eBook
Author W. T. Ziemba
Publisher World Scientific
Pages 607
Release 2012
Genre Business & Economics
ISBN 9814405450

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This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk' arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month. January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating in the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include some of these as well as presidential election, factor models based on fundamental anomalies and other effects. The ideas have been used successfully by the author in personal and managed accounts and hedge funds. Book jacket.

Calendar Anomalies And Arbitrage

Calendar Anomalies And Arbitrage
Title Calendar Anomalies And Arbitrage PDF eBook
Author William T Ziemba
Publisher World Scientific
Pages 607
Release 2012-07-25
Genre Business & Economics
ISBN 9814405477

Download Calendar Anomalies And Arbitrage Book in PDF, Epub and Kindle

This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month, January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating on the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include the presidential election and factor models based on fundamental anomalies. The ideas have been used successfully by the author in personal and managed accounts and hedge funds.

Calendar Anomalies and Arbitrage

Calendar Anomalies and Arbitrage
Title Calendar Anomalies and Arbitrage PDF eBook
Author W. T. Ziemba
Publisher World Scientific
Pages 607
Release 2012
Genre Business & Economics
ISBN 9814405469

Download Calendar Anomalies and Arbitrage Book in PDF, Epub and Kindle

This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month, January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating on the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include the presidential election and factor models based on fundamental anomalies. The ideas have been used successfully by the author in personal and managed accounts and hedge funds.

Great Investment Ideas

Great Investment Ideas
Title Great Investment Ideas PDF eBook
Author William T Ziemba
Publisher World Scientific Publishing Company
Pages 297
Release 2016-09-08
Genre Electronic books
ISBN 9813144386

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Great Investment Ideas is a collection of articles published in the Journal of Portfolio Management from 1993 to 2015. The book contains useful ideas for investment management and trading and discusses the methods, results and evaluation of great investors. It also covers important topics such as the effect of errors in means, variances and co-variances in portfolio selection problems, stock market crashes and stock market anomalies, portfolio theory and practice, evaluation theory, etc. This book is a must-have publication for investors and financial experts, researchers and graduate students in finance.

Efficiency and Anomalies in Stock Markets

Efficiency and Anomalies in Stock Markets
Title Efficiency and Anomalies in Stock Markets PDF eBook
Author Wing-Keung Wong
Publisher Mdpi AG
Pages 232
Release 2022-02-17
Genre Business & Economics
ISBN 9783036530802

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The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.

Inefficient Markets

Inefficient Markets
Title Inefficient Markets PDF eBook
Author Andrei Shleifer
Publisher OUP Oxford
Pages 295
Release 2000-03-09
Genre Business & Economics
ISBN 0191606898

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The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.

Beyond the Random Walk

Beyond the Random Walk
Title Beyond the Random Walk PDF eBook
Author Vijay Singal
Publisher Financial Management Association Survey and Synthesis Series
Pages 369
Release 2006
Genre Business & Economics
ISBN 0195304225

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In an efficient market, all stocks should be valued at a price that is consistent with available information. But as financial expert Singal points out, there are circumstances under which certain stocks sell at a price higher or lower than the right price. Here he discusses ten such anomalous prices and shows how investors might--or might not--be able to exploit these situations for profit.