The Turn-of-the-Year 1982/1983

William T Ziemba

Chapter 9 in The Adventures of a Modern Renaissance Academic in Investing and Gambling, 2017, pp 95-99 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The S&P500 started trading futures on the index in 1982. That way you could take levered positions long and short on the large cap sector of the US stock market. That can be profitable but it is risky and if the market falls suddenly and you are long, then you can lose a lot of money. Many have done precisely this and I discuss some of that in Chapter 21. I was studying US calendar anomalies and from a teaching visit to UCLA in 1981/1982, I learned about the small cap effect and the January effect and their relationship…

Keywords: Financial History; Risk Management; Investment Strategies; Mean Reversion; Risk Arbitrage; Management of Assets (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2017
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