World wide security market regularities

William T. Ziemba
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William T. Ziemba: Faculty of Commerce, University of British Columbia, Vancouver, BC, V6T 1Y8, Canada

Chapter 18 in Calendar Anomalies and Arbitrage, 2012, pp 401-432 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis paper is a brief survey of systematic violations of security market efficiencies in the US, Japan and other world wide equity markets. These security market regularities or anomalies seem to occur because of cash flow, institutional constraints and policies, investor behavior and sentiment, the slowness of markets to react to new information, the timing of favorable or unfavorable information flows and market maker supply-demand balances and optimal bid-ask spreads. While such anomalies are controversial and difficult to measure precisely as well as being variable over time, the persistence of many of these market regularities is of considerable interest to researchers and financial traders.

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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