Stock Market Anomalies
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Stock Market Anomalies
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Author : Elroy Dimson
language : en
Publisher: CUP Archive
Release Date : 1988-03-17
Stock Market Anomalies written by Elroy Dimson and has been published by CUP Archive this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988-03-17 with Business & Economics categories.
The Handbook Of Equity Market Anomalies
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Author : Leonard Zacks
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-24
The Handbook Of Equity Market Anomalies written by Leonard Zacks and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-24 with Business & Economics categories.
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Beyond The Random Walk
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Author : Vijay Singal
language : en
Publisher: Financial Management Association Survey and Synthesis Series
Release Date : 2006
Beyond The Random Walk written by Vijay Singal and has been published by Financial Management Association Survey and Synthesis Series this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.
In an efficient market, all stocks should be valued at a price that is consistent with available information. But as financial expert Singal points out, there are circumstances under which certain stocks sell at a price higher or lower than the right price. Here he discusses ten such anomalous prices and shows how investors might--or might not--be able to exploit these situations for profit.
Investment Styles Market Anomalies And Global Stock Selection
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Author : Richard Michaud
language : en
Publisher: Wiley
Release Date : 1991-01-15
Investment Styles Market Anomalies And Global Stock Selection written by Richard Michaud and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-01-15 with Business & Economics categories.
Investment Styles, Market Anomalies, and Global Stock Selection focuses on global factor-return relationships for institutional equity management and style analysis. The author uses a new global factor-return equity database, defined in 1990 and allowed to evolve over time, that was designed to avoid incurring some of the common critiques of market anomaly studies. The framework and data the author presents are intended to enhance the investor/manager's understanding of vital global equity investment issues.
Stock Market Anomalies
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Author : Victor Silverio Posadas Hernandez
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-11-03
Stock Market Anomalies written by Victor Silverio Posadas Hernandez and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-11-03 with Business & Economics categories.
Victor Silverio Posadas Hernandez explores three sets of questions: What are the investment laws in the Latin American emerging markets (LAEM) and how do they compare to those of developed countries? How heterogeneous are the implicit trading costs in the LAEM and which factors are responsible for the heterogeneity? How does the predictability of stock returns in the LAEM differ from those documented for developed markets?
Capital Market Anomalies Explained By Human S Irrationality
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Author : Irini Varvouzou
language : en
Publisher: Anchor Academic Publishing (aap_verlag)
Release Date : 2013-05-21
Capital Market Anomalies Explained By Human S Irrationality written by Irini Varvouzou and has been published by Anchor Academic Publishing (aap_verlag) this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-21 with Business & Economics categories.
Why do small caps achieve higher risk-adjusted yields than large caps? Why do stock prices increase or decrease upon an index entry respectively deletion? Why does January records higher yields than the remaining months of the year? These as well as other observed capital market anomalies or phenomena could be insufficiently explained by the classical capital market theory, which proceeds on the assumptions that all correspondent information are reflected in the stock prices, all negative effects are directly balanced on the market level and that efficiency of arbitrage principle exists as well as that all market participants act rationally (i.e. optimizing their benefits in the sense of the homo economicus). This motivated some economists and psychologists to include behavioural scientific findings in their research of the influences on the formation of prices on the capital market. In the 1980s the theory of Behavioural Finance was developed, which challenges the homo economicus. Researchers came to the conclusion that humans are not only acting rational, but that they are also influenced by emotions, knowledge and experiences. This new scientific behavioural oriented theory, which is today a separate branch of research, contradicts the classical capital market theory and supplies explanations for the observed phenomena on the capital market. The aim of this book is to demonstrate how human behaviour influences the development on the capital market and how Behavioural Finance serves as an explanation for the empirically observed capital market anomalies. This book begins with the introduction of the theoretical basis of Behavioural Finance and its emergence; tasks as well as aims will be explained in detail. Subsequently, human's heuristics as well as anomalies and irrationalities in their decision making process will be demonstrated. In the third chapter, the capital market anomalies or phenomena as well as the irrational and behavioural reasons for their existen
Quantitative Investing
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Author : Fred Piard
language : en
Publisher: Harriman House Limited
Release Date : 2013-08-26
Quantitative Investing written by Fred Piard and has been published by Harriman House Limited this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-26 with Business & Economics categories.
This book provides straightforward quantitative strategies that any investor can implement with little work using simple, free or low-cost tools and services. But what exactly is quantitative investing? There are various possible definitions of quantitative investing, but the author defines it as: Identifying reasonable and measurable hypotheses about behaviours of the financial market so as to make investment decisions with an acceptable confidence in expected returns and risks. The main advantages in using quantitative models are that they: - make the investment process independent of opinions and emotions (the most important factor for an individual investor), and - make it reproducible by anyone at any time (the most important factor for a fund) With a set of good strategies, quantitative investing allows one to act in the market at specific pre-planned times. It is possible to work on this just once a week or month, and ignore charts and the news. It removes most of the doubts and emotions with the discipline of keeping a long-term vision and sensible money management. This book will show you how.
Calendar Anomalies And Arbitrage
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Author : W. T. Ziemba
language : en
Publisher: World Scientific
Release Date : 2012
Calendar Anomalies And Arbitrage written by W. T. Ziemba and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Business & Economics categories.
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.
Investment Styles Market Anomalies And Global Stock Selection
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Author : Richard O. Michaud
language : en
Publisher:
Release Date : 2015
Investment Styles Market Anomalies And Global Stock Selection written by Richard O. Michaud and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
For years, investment professionals have used stock factors, such as price-to-book ratio, to help make stock selection decisions. If a stock factor is associated with ex post risk-adjusted returns, it is said to be anomalous, and anomalous stock factors can often be profitably exploited. In this monograph, the author investigates factor-return relationships by looking at the rationales for their existence and by drawing on a database of global equity market data. The results of this analysis will comfort some readers while surprising others.
Information Efficiency And Anomalies In Asian Equity Markets
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Author : Qaiser Munir
language : en
Publisher: Taylor & Francis
Release Date : 2016-10-04
Information Efficiency And Anomalies In Asian Equity Markets written by Qaiser Munir and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-04 with Business & Economics categories.
The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.