DESIGN OF ANOMALIES FUNDS: CONCEPTS AND EXPERIENCE

Dennis Capozza and William Ziemba

Chapter 8 in Calendar Anomalies and Arbitrage, 2012, pp 211-220 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONWHAT IS AN ANOMALIES FUND?EXPLOITABLE ANOMALIESSeasonality-JanuaryInsider TradingClosed end FundsUnexpected EarningsEXPERIENCEPROBLEMS OF IMPLEMENTATIONCONCLUSIONACKNOWLEDGMENTSREFERENCES

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
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