Calendar Anomalies And Arbitrage Hardback
by William T (Univ Of British Columbia, Canada; London Sch Of Economics, Uk & Korea Inst Of Sci Ziemba
Part of the World Scientific Series in Finance series
Hardback
Description
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.
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:608 pages
- Publisher:World Scientific Publishing Co Pte Ltd
- Publication Date:24/09/2012
- Category:
- ISBN:9789814405454
Information
-
Available to Order - This title is available to order, with delivery expected within 2 weeks
- Format:Hardback
- Pages:608 pages
- Publisher:World Scientific Publishing Co Pte Ltd
- Publication Date:24/09/2012
- Category:
- ISBN:9789814405454
