Cargando…
Calendar anomalies and arbitrage /
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 an...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New Jersey :
World Scientific,
2012.
|
| Colección: | World Scientific series in finance ;
v. 2. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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. |
|---|---|
| Notas: | Includes index. |
| Descripción Física: | 1 online resource. |
| Bibliografía: | Includes bibliographical references and indexes. |
| ISBN: | 9789814405461 9814405469 1283593777 9781283593779 9786613906229 6613906220 |
| ISSN: | 2010-1082 ; |