Calendar Anomalies And Arbitrage (Paperback)

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.

General

Imprint:	World Scientific Publishing Co Pte Ltd
Country of origin:	Singapore
Series:	World Scientific Series in Finance, 2
Release date:	September 2012
First published:	July 2012
Authors:	William T. Ziemba
Dimensions:	167 x 248 x 35mm (L x W x T)
Format:	Paperback
Pages:	608
ISBN-13:	978-981-4417-45-7
Categories:	Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General Books > Money & Finance > Investment & securities > General
LSN:	981-4417-45-9
Barcode:	9789814417457

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