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Calendar anomalies and arbitrage

Author: W T Ziemba
Publisher: Hackensach, N.J. : World Scientific, ©2012.
Series: World Scientific series in finance, vol. 2.
Edition/Format:   Book : EnglishView all editions and formats
Database:WorldCat
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 on the futures markets where these anomalies can be easily applied. Other  Read more...
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Details

Document Type: Book
All Authors / Contributors: W T Ziemba
ISBN: 9789814405454 9814405450 9789814417457 9814417459
OCLC Number: 788276677
Description: xx, 586 p. : ill. ; 26 cm.
Contents: 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.
Series Title: World Scientific series in finance, vol. 2.
Responsibility: by William T. Ziemba.

Abstract:

Discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. This title deals with US anomalies such as the January turn-of-the year,  Read more...
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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, Read more...

 
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