Calendar Anomalies and Arbitrage

William T Ziemba
Additional contact information
William T Ziemba: University of British Columbia, Canada & ICMA Centre, University of Reading, UK

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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.

Keywords: Calendar Anomalies; Arbitrage; Stock Prices; Stock Returns; US Stock Market; Futures Markets; Betting; Trading Strategies; Sports Market; Lottery Market; Capital Growth Theory; Semi-Strong Market Efficiency; Speculative Investments; Index Futures; Factor Models Based on Fundamental Anomalies; Worldwide Stock Market Strategies (search for similar items in EconPapers)
Date: 2012
ISBN: 9789814405454
References: Add references at CitEc
Citations: View citations in EconPapers (6)

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Chapters in this book:

Ch 1 Introduction — Calendar Anomalies , pp 1-81

Constantine S. Dzhabarov and William T. Ziemba

Ch 2 PLAYING THE TURN-OF-THE-YEAR EFFECT WITH INDEX FUTURES , pp 83-97

Ross Clark and William T. Ziemba

Ch 3 Arbitrage Strategies for Cross-Track Betting on Major Horse Races , pp 99-116

Donald B. Hausch and William T. Ziemba

Ch 4 Locks at the Racetrack , pp 117-124

Donald B. Hausch and William T. Ziemba

Ch 5 Arbitrage and Risk Arbitrage in Team Jai Alai , pp 125-143

Daniel Lane and William T. Ziemba

Ch 6 Miscellaneous Inserts , pp 145-180

William T. Ziemba

Ch 7 Risk arbitrage in the Nikkei put warrant market of 1989-1990 , pp 181-209

J. Shaw, E. O. Thorp and W. T. Ziemba

Ch 8 DESIGN OF ANOMALIES FUNDS: CONCEPTS AND EXPERIENCE , pp 211-220

Dennis Capozza and William Ziemba

Ch 9 Land and Stock Prices in Japan , pp 221-237

Douglas Stone and William T. Ziemba

Ch 10 THE CHICKEN OR THE EGG: LAND AND STOCK PRICES IN JAPAN , pp 239-262

William T. Ziemba

Ch 11 Japanese security market regularities Monthly, turn-of-the-month and year, holiday and golden week effects , pp 263-290

William T. Ziemba

Ch 12 SEASONALITY EFFECTS IN JAPANESE FUTURES MARKETS , pp 291-319

William T. Ziemba

Ch 13 Day of the Week Effects in Japanese Stocks , pp 321-342

Kiyoshi Kato, Sandra L. Schwartz and William T. Ziemba

Ch 14 Comment on “Why a Weekend Effect?” , pp 343-354

William T. Ziemba

Ch 15 The Turn-of-the-Month Effect in the World’s Stock Markets, January 1988 - January 1990 , pp 355-363

Teppo Martikainen, Jukka Perttunen and William T. Ziemba

Ch 16 THE TURN-OF-THE-MONTH EFFECT IN THE U.S. STOCK INDEX FUTURES MARKETS, 1982-1992 , pp 365-383

Chris R. Hensel, Gordon A. Sick and William T. Ziemba

Ch 17 Worldwide security market anomalies , pp 385-399

W. T. Ziemba and C. R. Hensel

Ch 18 World wide security market regularities , pp 401-432

William T. Ziemba

Ch 19 Cointegration analysis of the Fed model , pp 433-444

Matti Koivu, Teemu Pennanen and William T. Ziemba

Ch 20 The Predictive Ability of the Bond-Stock Earnings Yield Differential Model , pp 445-462

Klaus Berge, Giorgio Consigli and William T. Ziemba

Ch 21 Efficiency of Racing, Sports, and Lottery Betting Markets , pp 463-502

William T. Ziemba

Ch 22 The Favorite-Longshot Bias in S&P 500 and FTSE 100 Index Futures Options: The Return to Bets and the Cost of Insurance , pp 503-522

Robert G. Tompkins, William T. Ziemba and Stewart D. Hodges

Ch 23 The Dosage Breeding Theory for Horse Racing Predictions , pp 523-556

Marshall Gramm and William T. Ziemba

Ch 24 An Application of Expert Information to Win Betting on the Kentucky Derby, 1981-2005 , pp 557-575

Roderick S. Bain, Donald B. Hausch and William T. Ziemba

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