Calendar anomalies and arbitrage

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Title:

Author:

Ziemba, W. T.

ISBN:

9789814405454

9789814417457

Personal Author:

Ziemba, W. T.

Publication Information:

Singapore ; Hanckensack, NJ : World Scientific, c2012.

Physical Description:

xx, 586 p. : ill. ; 25 cm.

Series:

World Scientific series in finance, vol. 2

World Scientific series in finance ; vol. 2.

Abstract:

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.

Subject Term:

Stocks -- Prices.

Stock price forecasting.

Arbitrage.

Seasonal variations (Economics)

Copies:

Available:*

Library	Material Type	Item Barcode	Shelf Number	Copy	Status
Searching... 1:IIEMSA	1:GEN-BOOK	33168025579752	332.645 Z66C 2012	1	Searching... Unknown

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Summary

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.