Calendar anomalies and arbitrage
Author(s)
Bibliographic Information
Calendar anomalies and arbitrage
(World Scientific series in finance, v. 2)
World Scientific, c2012
- : pbk
Available at 1 libraries
  Aomori
  Iwate
  Miyagi
  Akita
  Yamagata
  Fukushima
  Ibaraki
  Tochigi
  Gunma
  Saitama
  Chiba
  Tokyo
  Kanagawa
  Niigata
  Toyama
  Ishikawa
  Fukui
  Yamanashi
  Nagano
  Gifu
  Shizuoka
  Aichi
  Mie
  Shiga
  Kyoto
  Osaka
  Hyogo
  Nara
  Wakayama
  Tottori
  Shimane
  Okayama
  Hiroshima
  Yamaguchi
  Tokushima
  Kagawa
  Ehime
  Kochi
  Fukuoka
  Saga
  Nagasaki
  Kumamoto
  Oita
  Miyazaki
  Kagoshima
  Okinawa
  Korea
  China
  Thailand
  United Kingdom
  Germany
  Switzerland
  France
  Belgium
  Netherlands
  Sweden
  Norway
  United States of America
Note
Includes bibliographical references and indexes
Description and Table of Contents
Description
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.
Table of Contents
- Calendar Anomalies (C S Dzhabarov and W T Ziemba)
- Playing the Turn-of-the-Year Effect with Index Futures (R Clark and W T Ziemba)
- Arbitrage Strategies for Cross Track Betting on Major Horseraces (D B Hausch and W T Ziemba)
- Locks in Racetrack Minus Pools (D B Hausch and W T Ziemba)
- Arbitrage in Team Jai Alai (D Lane and W T Ziemba)
- Miscellaneous Inserts
- Convergence to Efficiencyof the Nikkei Put Warrant Market of 1989 - 1990 (J Shaw, E O Thorp and W T Ziemba)
- Design of Anomaly Funds: Concepts and Experience (D Capozza and W T Ziemba)
- Land and Stock Prices in Japan (D Stone and W T Ziemba)
- Japanese Security Market Regularities: Monthly, Turn of the Month and Year, Holiday and Golden Week Effects (W T Ziemba)
- The Turn-of-the-Month Effect in the World's Stock Markets, January 1988 - January 1990 (T Martikainen, J Perttunen and W T Ziemba)
- Worldwide Security Market Anomalies (W T Ziemba and C Hensel)
- The Turn-of-the-Month Effect in the Futures Markets, 1982 - 1992 (C Hensel, G A Sick and W T Ziemba)
- Worldwide Security Market Regularities (W T Ziemba)
- Cointegration Analysis of the FED Model (M Koivu, T Pennanen and W T Ziemba)
- The Predictive Ability of the Bond Stock Earnings Yield Differential (K Berge, G Consigli and W T Ziemba)
- Efficiency of Racetrack Betting Markets (D B Hausch and W T Ziemba)
- The Favorite-Longshot Bias in S&P500 Futures Options: The Return to Bets and the Cost of Insurance (R G Tompkins, W T Ziemba and S H Hodges)
- The Dosage Breeding Theory for Horseracing Predictions (M Gramm and W T Ziemba)
- An Application of Expert Information to Win Betting on the Kentucky Derby (D B Hausch, R Bain and W T Ziemba).
by "Nielsen BookData"