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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:   Print 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 pages : illustrations ; 26 cm.
Contents: Introduction --
calendar anomalies --
Playing the turn-of-the-year effect with index futures --
Arbitrage strategies for cross-track betting on major horse races --
Locks at the racetrack --
Arbitrage and risk arbitrage in team jai alai --
Miscellaneous inserts --
Risk arbitrage in the Nikkei put warrant market of 1989-1990 --
Design of anomalies funds: concepts and experience --
Land and stock prices in Japan --
The chicken or the egg: land and stock prices in Japan --
Japanese security market regularities: monthly, turn-of-the-month and year, holiday and golden week effects --
Seasonality effects in Japanese futures markets --
Day of the week effects in Japanese stocks --
Comment on "why a weekend effect?" --
The turn-of-the-month effect in the world's stock markets, January 1988 --
January 1990 --
The turn-of-the-month effect in the U.S. stock index futures markets, 1982-1992 --
Worldwide security market anomalies --
Worldwide security market regularities --
Cointegration analysis of the Fed model --
The predictive ability of the bond-stock earnings yield differential model --
Efficiency of racing, sports, and lottery betting markets --
The favorite-longshot bias in S & P500 and FTSE 100 index futures options: the return to bets and the cost of insurance --
The dosage breeding theory for horse racing predictions --
An application of expert information to win betting on the Kentucky Derby, 1981-2005.
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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