CALENDAR ANOMALIES AND ARBITRAGE.

CALENDAR ANOMALIES AND ARBITRAGE.

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 an...

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Bibliographic Details
Main Author: Ziemba, W. T.
Format: eBook
Language:English
Published: Singapore : World Scientific, 2012.
Series:World Scientific series in finance.
Subjects:
Stocks > Prices.
Stock price forecasting.
Arbitrage.
Seasonal variations (Economics)
Arbitrage
Stock price forecasting
Stocks > Prices
Online Access:Click for online access
Table of Contents:
  • 1. Introduction
  • Calendar anomalies / C.S. Dzhabarov and W.T. Ziemba
  • 2. Playing the turn-of-the-year effect with index futures / R. Clark and W.T. Ziemba
  • 3. Arbitrage strategies for cross-track betting on major horse races / D.B. Hausch and W.T. Ziemba
  • 4. Locks at the racetrack / D.B. Hausch and W.T. Ziemba
  • 5. Arbitrage and risk arbitrage in Team Jai Alai / D. Lane and W.T. Ziemba
  • 6. Miscellaneous inserts. a. The buying and selling behavior of individual investors at the turn of the year: discussion. b. Russell Report
  • The January barometer: European, North American, Pacific and worldwide results. c. Occupational nostalgia. d. U.S. bears bets may roil Japan's turmoil/Bearish betters in U.S. may be partly behind upheavals in Tokyo. e. Nikkei put options good buy for foreign funds managers. f. Buying stock? Consider turn-of-the-month effect. g. Making dollar-cost averaging even more profitable. h. Turn, turn, turn: to every stock price there is a reason for the month-to-month price jump. i. Russell Report
  • Investment results from exploiting turn-of-the-month effects. j. Summary of "playing the turn of the year effect with index futures". k. "Political" investment turn out to be lucrative/mixing politics with investment decisions proves to be lucrative
  • 7. Risk arbitrage in the Nikkei put warrant market of 1989-1990 / J. Shaw, E.O. Thorp and W.T. Ziemba
  • 8. Design of anomalies funds: concepts and experience / D.R. Capozza and W.T. Ziemba
  • 9. Land and stock prices in Japan / D. Stone and W.T. Ziemba
  • 10. The chicken or the egg: land and stock prices in Japan / W.T. Ziemba
  • 11. Japanese security market regularities: monthly, turn-of-the-month and year, holiday and golden week effects / W.T. Ziemba
  • 12. Seasonality effects in Japanese futures markets / W.T. Ziemba
  • 13. Day of the week effects in Japanese stocks / K. Kato, S.L. Schwartz and W.T. Ziemba
  • 14. Comment on "why a weekend effect?" / W.T. Ziemba
  • 15. The turn-of-the-month effect in the world's stock markets, January 1988
  • January 1990 / T. Martikainen, J. Perttunen and W.T. Ziemba
  • 16. The turn-of-the-month effect in the U.S. stock index futures markets, 1982-1992 / C. Hensel, and G.A. Sick and W.T. Ziemba
  • 17. Worldwide security market anomalies / W.T. Ziemba and C.R. Hensel
  • 18. Worldwide security market regularities / W.T. Ziemba
  • 19. Cointegration analysis of the Fed model / M. Koivu, T. Pennanen and W.T. Ziemba
  • 20. The predictive ability of the bond-stock earnings yield differential model / K. Berge, G. Consigli and W.T. Ziemba
  • 21. Efficiency of racing, sports, and lottery betting markets / W.T. Ziemba
  • 22. The favorite-longshot bias in S & P500 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
  • 23. The dosage breeding theory for horse racing predictions / M. Gramm and W.T. Ziemba
  • 24. An application of expert information to win betting on the Kentucky Derby, 1981-2005 / R.S. Bain, D.B. Hausch, and W.T. Ziemba.

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