Calendar Anomalies and Arbitrage

Calendar Anomalies and Arbitrage

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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. Contents:Introduction a€” 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 Horse Races (D B Hausch and W T Ziemba)Locks at the Racetrack (D B Hausch and W T Ziemba)Arbitrage and Risk Arbitrage in Team Jai Alai (D Lane and W T Ziemba)Miscellaneous InsertsRisk Arbitrage in the Nikkei Put Warrant Market of 1989a€“1990 (J Shaw, E O Thorp and W T Ziemba)Design of Anomalies Funds: Concepts and Experience (D R Capozza and W T Ziemba)Land and Stock Prices in Japan (D Stone and W T Ziemba)The Chicken or the Egg: Land and Stock Prices in Japan (W T Ziemba)Japanese Security Market Regularities: Monthly, Turn-of-the-Month and Year, Holiday and Golden Week Effects (W T Ziemba)Seasonality Effects in Japanese Futures Markets (W T Ziemba)Day of the Week Effects in Japanese Stocks (K Kato, S L Schwartz and W T Ziemba)Comment on a€œWhy a Weekend Effect?a€ (W T Ziemba)The Turn-of-the-Month Effect in the World's Stock Markets, January 1988 a€“ January 1990 (T Martikainen, J Perttunen and W T Ziemba)The Turn-of-the-Month Effect in the U.S. Stock Index Futures Markets, 1982a€“1992 (C Hensel, and G A Sick and W T Ziemba)Worldwide Security Market Anomalies (W T Ziemba and C R Hensel)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 Model (K Berge, G Consigli and W T Ziemba)Efficiency of Racing, Sports, and Lottery Betting Markets (W T Ziemba)The Favorite-Longshot Bias in SaP500 and FTSE 100 Index Futures Options: The Return to Bets and the Cost of Insurance (R G Tompkins, W T Ziemba and S D Hodges)The Dosage Breeding Theory for Horse Racing Predictions (M Gramm and W T Ziemba)An Application of Expert Information to Win Betting on the Kentucky Derby, 1981a€“2005 (R S Bain, D B Hausch and W T Ziemba) Readership: Students, researchers and professionals who are interested in stock market investment and futures trading strategies. Keywords:Calendar Anomalies;Arbitrage;Stock Prices;Stock Returns;US Stock Market;Futures Markets;Betting;Trading Strategies;Sports Market;Lottery Market;Capital Growth Theory;Semi-Strong Market Efficiency;Speculative Investments;Index Futures;Factor Models Based on Fundamental Anomalies;Worldwide Stock Market StrategiesReviews: a€œFor 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.a€ Jay R Ritter Professor of Finance University of Florida a€œA 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.a€ Elroy Dimson Professor Emeritus London Business School a€œResearch 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? To address these questions it is valuable to have an extensive inventory of careful studies of different kinds of markets, assets, countries, frequencies, institutional settings, and time periods. As such, this volume is a valuable source of ideas and stylized facts for the building of new theoretical insight.a€ David Hirshleifer Professor of Finance UC Irvine a€œCan 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 practitionera€”what paid, what is working, and what might be profitable in the future.a€ Edward O Thorp Edward O Thorp a Associates Author of a€œBeat the Dealera€ and a€œBeat the Marketa€ a€œThis 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.a€ Hersh Shefrin Professor of Finance Santa Clara UniversityThe data used were 7668 days from January 3, 1973 to December 31, 1993 of which 5238 were trading days. ... a 7 D1stNov + a8 DJan + a9DDay30 + a10DDay31 + ut Monday Tuesday Friday 1st Day Easter Xmas 1st Nov Jan Day 30 Day 31anbsp;...

Title:Calendar Anomalies and Arbitrage
Author: William T Ziemba
Publisher:World Scientific - 2012-07-25

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