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 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.

A question I am frequently asked is whether stock market regularities persist into the future. My answer is always the same. If you think an anomaly looks interesting, don't invest a penny until you have read what William T Ziemba has to say about it. He is the master of research on anomaly strategies. -- Elroy Dimson "Professor Emeritus, London Business School", Can you beat the market by using historical patterns in financial data? Here is the latest and most comprehensive treatment of these anomalies by a leading theorist and practitioner - what paid, what is working, and what might be profitable in the future. -- Edward O Thorp "Edward O Thorp & Associates, Author of "Beat the Dealer" and "Beat the Market"", For several decades William T. Ziemba has focused on documenting, explaining, and trading on, calendar-based and other anomalies. This collection contains not only the original papers, but updates that examine whether the patterns persist. -- Jay R Ritter "Professor of Finance, University of Florida", Research on return anomalies touches upon central topics in financial economics: Are markets informationally efficient? Are smart arbitrageurs able to correct mispricing swiftly, or at all? Are patterns of predictability in securities markets the consequences of risk premia, psychological bias, or mere ex post data-mining? -- David Hirshleifer "Professor of Finance, UC Irvine", 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, and horse race betting. -- Hersh Shefrin "Professor of Finance, Santa Clara University"