Calendar anomalies and arbitrage
Auteur :
Ziemba, William T
Éditeur :
World Scientific Publishing Co Pte Ltd
ISBN :
9789814405454
Date de publication :
24 sept. 2012
Langue :
Anglais
Pays d'origine :
Singapour
Discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. This title deals with 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 concentrating on the futures markets.