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Calendar Anomalies and Arbitrage

by William T. Ziemba

2020-05-28 17:28:43

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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 a... Read more
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. Less

Book Details

Print pages608
PublisherWorld Scientific Publishing Company
Publication date July 23, 2012
LanguageEnglish
ISBN9789814417457
autor-image
William T. Ziemba
Author
...

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