William T Ziemba
Calendar Anomalies and Arbitrage
Gebonden EN 2012 9789814405454Levertijd ± 16 werkdagen
Gratis verzonden
Samenvatting
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.
Specificaties
ISBN13:9789814405454
Taal:EN
Bindwijze:Gebonden
Aantal pagina's:608
Uitgever:World Scientific Publishing Co Pte Ltd
Hoofdrubriek:Financieel management, Financieel management
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