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 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.High stock returns before holidays: Existence and evidence on possible causes. Journal of ... Security price anomalies in the London international stock exchange : A 60 year perspective. Applied ... American depository receipts and calendar anomalies. ... Available at blog/2011/02/what-january-effect-?

Title:Calendar Anomalies and Arbitrage
Author:W. T. Ziemba
Publisher:World Scientific - 2012


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