Calendar Anomalies And Arbitrage

By: William T Ziemba

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Hardcover | 26 July 2012

At a Glance

Hardcover
608 Pages

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24.41 x 16.99 x 3.33

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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 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.

Industry Reviews

A question I am frequently asked is whether stock market regularities persist into the future. My answer is always the same. If you think an anomaly looks interesting, don't invest a penny until you have read what William T Ziemba has to say about it. He is the master of research on anomaly strategies. -- Elroy Dimson "Professor Emeritus, London Business School"
Can you beat the market by using historical patterns in financial data? Here is the latest and most comprehensive treatment of these anomalies by a leading theorist and practitioner - what paid, what is working, and what might be profitable in the future. -- Edward O Thorp "Edward O Thorp & Associates, Author of "Beat the Dealer" and "Beat the Market""
For several decades William T. Ziemba has focused on documenting, explaining, and trading on, calendar-based and other anomalies. This collection contains not only the original papers, but updates that examine whether the patterns persist. -- Jay R Ritter "Professor of Finance, University of Florida"
Research on return anomalies touches upon central topics in financial economics: Are markets informationally efficient? Are smart arbitrageurs able to correct mispricing swiftly, or at all? Are patterns of predictability in securities markets the consequences of risk premia, psychological bias, or mere ex post data-mining? -- David Hirshleifer "Professor of Finance, UC Irvine"
This lively retrospective takes readers on an informative anomalies tour, featuring both breadth and depth, across Japan, Europe, and the US in markets for equities, fixed income securities, land, and horse race betting. -- Hersh Shefrin "Professor of Finance, Santa Clara University"

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Non-Fiction Accounting & Finance Finance Investment & Securities Booktopia Publisher Services World Scientific Publishing

Preface	p. xi
List of Co-authors	p. xv
Acknowledgements	p. xvii
Introduction - Calendar Anomalies	p. 1
Playing the Turn-of-the-Year Effect With Index Futures	p. 83
Arbitrage Strategies for Cross-Track Betting on Major Horse Races	p. 99
Locks at the Racetrack	p. 117
Arbitrage and Risk Arbitrage in Team Jai Alai	p. 125
Miscellaneous Inserts	p. 145
The Buying and Selling Behavior of Individual Investors at the Turn of the Year: Discussion	p. 147
Russell Report - The January Barometer: European, North American, Pacific and Worldwide Results	p. 148
Occupational Nostalgia	p. 158
U.S. Bears Bets May Roil Japan's Turmoil/ Bearish Betters in U.S. May Be Partly Behind Upheavals in Tokyo	p. 159
Nikkei Put Options Good Buy for Foreign Funds Managers	p. 160
Buying Stock? Consider Turn-of-the-Month Effect	p. 161
Making Dollar-Cost Averaging Even More Profitable	p. 162
Turn, Turn, Turn: To Every Stock Price There Is a Reason for the Month-to-Month Price Jump	p. 161
Russell Report - Investment Results From Exploiting Turn-of-the-Month Effects	p. 163
Summary of "Playing the Turn of the Year Effect With Index Futures"	p. 174
"Political" Investment Turn Out to Be Lucrative/Mixing Politics With Investment Decisions Proves to Be Lucrative	p. 180
Risk Arbitrage in the Nikkei Put Warrant Market of 1989-1990	p. 181
Design of Anomalies Funds: Concepts and Experience	p. 211
Land and Stock Prices in Japan	p. 221
The Chicken or the Egg: Land and Stock Prices in Japan	p. 239
Japanese Security Market Regularities: Monthly, Turn-of-the-Month and Year, Holiday and Golden Week Effects	p. 263
Seasonality Effects in Japanese Futures Markets	p. 291
Day of the Week Effects in Japanese Stocks	p. 321
Comment on "Why a Weekend Effect?"	p. 343
The Turn-of-the-Month Effect in the World's Stock Markets, January 1988 - January 1990	p. 355
The Turn-of-the-Month Effect in the U.S. Stock Index Futures Markets, 1982-1992	p. 365
Worldwide Security Market Anomalies	p. 385
Worldwide Security Market Regularities	p. 401
Cointegration Analysis of the Fed Model	p. 433
The Predictive Ability of the Bond-Stock Earnings Yield Differential Model	p. 445
Efficiency of Racing, Sports, and Lottery Betting Markets	p. 463
The Favorite-Longshot Bias in S&P500 and FTSE 100 Index Futures Options: The Return to Bets and the Cost of Insurance	p. 503
The Dosage Breeding Theory for Horse Racing Predictions	p. 523
An Application of Expert Information to Win Betting on the Kentucky Derby, 1981-2005	p. 557
Author Index	p. 577
Subject Index	p. 581
Table of Contents provided by Ingram. All Rights Reserved.

Calendar Anomalies And Arbitrage

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