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The handbook of equity market anomalies [electronic resource] : translating market inefficiencies into effective investment strategies /
Leonard Zacks.
imprint
Hoboken, N.J. : Wiley, 2011.
description
xvii, 334 p. : ill. ; 24 cm.
ISBN
9780470905906 (hardback)
format(s)
Book
More Details
author
imprint
Hoboken, N.J. : Wiley, 2011.
isbn
9780470905906 (hardback)
restrictions
Licensed for access by U. of T. users.
abstract
"The Zacks Handbook of Investment Anomalies will be the definitive work that presents and updates academic and practitioner research on market inefficiencies that can be translated into effective investment strategies. Edited by Len Zacks, a CEO of Zacks Investment Research, the book will explore earnings revisions and surprises; trading by company insiders; stock price momentum patterns; low price-earnings ratios; sector characteristics; seasonal patterns and other areas or market inefficiencies. The goal will be to present historical research on definable situations where particular stocks outperform the overall market. The insights from the research can then be utilized to construct a market-beating strategy going forward. While many of the chapters will be written by academics, an effort will be made to make the articles engaging and interesting to investment practitioners. The initial table of contents might be something like: Theoretical Framework within which to discuss market inefficiencies -- EPS Surprises- trading around EPS announcement dates -- Estimate Revisions - the oldest anomaly -- Insider Trading - it works if you clean the data -- Balance Sheet Accruals - longer term profits -- Price Momentum - 50 ways to measure it , do any work ? -- Low PE - when , why, and does it work -- Best Anomalies in each Sector - what works in each Sector -- Academically sound Technical Analysis - it's a new world -- Calendar based anomalies - do they exist ,can you make money using them -- Anomalies in Non US Markets ( 1 to 10 outside the US ) -- Selecting Mutual Funds -can you predict manager performance -- High Frequency trading anomalies - got a second?"--
catalogue key
11889387
 
Includes bibliographical references and index.
A Look Inside
Excerpts
Flap Copy
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 software and data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process-based on academically documented market inefficiencies and anomalies-that will allow you to enhance your trading and investing activities. Engaging and informative, 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 the self-directed individual investor with a framework for incorporating the results of this research into their own endeavors. Comprised of contributed chapters by leading professors who have performed groundbreaking research on specific anomalies, and edited by Len Zacks, this book skillfully reveals some of the most important anomalies savvy investors have used for decades to beat the market. Some of the anomalies examined 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 long investor portfolios. And by visiting the website associated with this book (hema.zacks.com), you'll find a page dedicated to each chapter as well as a live discussion group where the authors will periodically respond to posts from readers. The book's Bibliography is also housed on this site, so you can instantly explore more than 600 of the academic articles referred to throughout these pages. A treasure trove of investment research and wisdom, this book will save you countless hours of searching for strategies that can improve the performance of your portfolio by distilling the essence of twenty years of academic research into eleven clear chapters-and providing a solid understanding of the use and value of specific anomalies in quant equity investing.
Flap Copy
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 software and data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process-based on academically documented market inefficiencies and anomalies-that will allow you to enhance your trading and investing activities. Engaging and informative, 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 the self-directed individual investor with a framework for incorporating the results of this research into their own endeavors. Comprised of contributed chapters by leading professors who have performed groundbreaking research on specific anomalies, and edited by Len Zacks, this book skillfully reveals some of the most important anomalies savvy investors have used for decades to beat the market. Some of the anomalies examined 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 long investor portfolios. And by visiting the website associated with this book (hema.zacks.com), youll find a page dedicated to each chapter as well as a live discussion group where the authors will periodically respond to posts from readers. The books Bibliography is also housed on this site, so you can instantly explore more than 600 of the academic articles referred to throughout these pages. A treasure trove of investment research and wisdom, this book will save you countless hours of searching for strategies that can improve the performance of your portfolio by distilling the essence of twenty years of academic research into eleven clear chapters-and providing a solid understanding of the use and value of specific anomalies in quant equity investing.
Summaries
Back Cover Copy
Praise for The Handbook of Equity Market Anomalies "Anomalies are characteristics of equities that might be used to get excess risk-adjusted returns. This volume explains anomalies that did work and some that savvy investors are using now." -EDWARD O. THORP, founder, Edward O. Thorp & Associates "If you are seeking Alpha, there is no better single source than The Handbook of Equity Market Anomalies." -BLAIR HULL, founder, Hull Trading Company "The book is a timely, thorough, and thoughtful survey of the vast finance and accounting academic literature on market anomalies-a must-read for academics, PhD students, and practitioners." -STANIMIR MARKOV, Associate Professor of Accounting, The University of Texas at Dallas "This compendium is extraordinarily thought-provoking. I am astonished by the breadth of its coverage." - PROFESSOR ELROY DIMSON, London School of Business; coauthor of Triumph of the Optimists "This guide to an enormous amount of research is a must for any investor attempting to exploit so-called anomalies in the stock market. The research leaves an open question: Are anomalous stock returns a 'free lunch,' easily exploited, or is the investor just loading up on risk? This handbook brings the research to life for the active investor and, by confronting this question, does so with the appropriate caution so that the investor has some sense of whether these anomalous returns can be earned in real time." -Stephen Penman, George O. May Professor, Columbia Business School; and author of Accounting for Value "In this handbook, seers of the profession provide a lucid, accessible summary of four decades of rigorous finance research on stock market anomalies to guide your investment strategies in search of alpha. I particularly like the authors' balanced treatment of the issues: while recognizing the competitive and challenging task of beating the market, they are able to explain which strategies might work and why. This is a must-read for any institutional or individual investor seeking to consistently outperform the market." -S.P. Kothari, Deputy Dean and Gordon Y Billard Professor of Management, MIT Sloan School of Management "This is an encyclopedic synopsis of academic research on stock return predictability. The reference lists alone are worth the price of admission. Remarkable in its ability to combine academic rigor with lucid prose, it is a treasure trove of ideas for serious investors. They wouldn't necessarily admit it, but many professional asset managers will be reading this book-and those not doing so, should be." -Charles M. C. Lee, Joseph McDonald Professor of Accounting, Robert and Marilyn Jaedicke Faculty Fellow for 2010-2011, Stanford University
Back Cover Copy
Praise for The Handbook of Equity Market Anomalies "Anomalies are characteristics of equities that might be used to get excess risk-adjusted returns.'? This volume'explains anomalies that did work and some that savvy investors are using now." -EDWARD O. THORP, founder, Edward O. Thorp & Associates "If you are seeking Alpha, there is no better single source than The Handbook of Equity Market Anomalies." -BLAIR HULL, founder, Hull Trading Company "The book is a timely, thorough, and thoughtful survey of the vast finance and accounting academic literature on market anomalies-a must-read for academics, PhD students, and practitioners." -STANIMIR MARKOV, Associate Professor of Accounting, The University of Texas at Dallas "This compendium is extraordinarily thought-provoking. I am astonished by the breadth of its coverage." - PROFESSOR ELROY DIMSON, London School of Business; coauthor of?Triumph of the Optimists "This guide to an enormous amount of research is a must for any investor attempting to exploit so-called anomalies in the stock market. The research leaves an open question: Are anomalous stock returns a 'free lunch,' easily exploited, or is the investor just loading up on risk? This handbook brings the research to life for the active investor and, by confronting this question, does so with the appropriate caution so that the investor has some sense of whether these anomalous returns can be earned in real time." -Stephen Penman, George O. May Professor, Columbia Business School; and author of Accounting for Value "In this handbook, seers of the profession provide a lucid, accessible summary of four decades of rigorous finance research on stock market anomalies to guide your investment strategies in search of alpha.'? I particularly like the authors' balanced treatment of the issues:? while recognizing the competitive and challenging task of beating the market, they are able to explain which strategies might work and why.'? This is a must-read for any institutional or individual investor seeking to consistently outperform the market." -S.P. Kothari, Deputy Dean and Gordon Y Billard Professor of Management, MIT Sloan School of Management "This is an encyclopedic synopsis of academic research on stock return predictability. The reference lists alone are worth the price of admission. Remarkable in its ability to combine academic rigor with lucid prose, it is a treasure trove of ideas for serious investors. They wouldn't necessarily admit it, but many professional asset managers will be reading this book-and those not doing so, should be." -Charles M. C. Lee, Joseph McDonald Professor of Accounting, Robert and Marilyn Jaedicke Faculty Fellow for 2010-2011, Stanford University
Bowker Data Service Summary
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies. He summarizes research to identify & measure equity market inefficiencies & provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes.
Long Description
Praise for The Handbook of Equity Market Anomalies "Anomalies are characteristics of equities that might be used to get excess risk-adjusted returns. This volume explains anomalies that did work and some that savvy investors are using now." -EDWARD O. THORP, founder, Edward O. Thorp & Associates "If you are seeking Alpha, there is no better single source than The Handbook of Equity Market Anomalies." -BLAIR HULL, founder, Hull Trading Company "The book is a timely, thorough, and thoughtful survey of the vast finance and accounting academic literature on market anomalies-a must-read for academics, PhD students, and practitioners." -STANIMIR MARKOV, Associate Professor of Accounting, The University of Texas at Dallas "This compendium is extraordinarily thought-provoking. I am astonished by the breadth of its coverage." - PROFESSOR ELROY DIMSON, London School of Business; coauthor of Triumph of the Optimists "This guide to an enormous amount of research is a must for any investor attempting to exploit so-called anomalies in the stock market. The research leaves an open question: Are anomalous stock returns a free lunch, easily exploited, or is the investor just loading up on risk? This handbook brings the research to life for the active investor and, by confronting this question, does so with the appropriate caution so that the investor has some sense of whether these anomalous returns can be earned in real time." -Stephen Penman, George O. May Professor, Columbia Business School; and author of Accounting for Value "In this handbook, seers of the profession provide a lucid, accessible summary of four decades of rigorous finance research on stock market anomalies to guide your investment strategies in search of alpha. I particularly like the authors balanced treatment of the issues: while recognizing the competitive and challenging task of beating the market, they are able to explain which strategies might work and why. This is a must-read for any institutional or individual investor seeking to consistently outperform the market." -S.P. Kothari, Deputy Dean and Gordon Y Billard Professor of Management, MIT Sloan School of Management "This is an encyclopedic synopsis of academic research on stock return predictability. The reference lists alone are worth the price of admission. Remarkable in its ability to combine academic rigor with lucid prose, it is a treasure trove of ideas for serious investors. They wouldnt necessarily admit it, but many professional asset managers will be reading this book-and those not doing so, should be." -Charles M. C. Lee, Joseph McDonald Professor of Accounting, Robert and Marilyn Jaedicke Faculty Fellow for 2010-2011, Stanford University
Long Description
Praise for The Handbook of Equity Market Anomalies "Anomalies are characteristics of equities that might be used to get excess risk-adjusted returns.'? This volume'explains anomalies that did work and some that savvy investors are using now." -EDWARD O. THORP, founder, Edward O. Thorp & Associates "If you are seeking Alpha, there is no better single source than The Handbook of Equity Market Anomalies." -BLAIR HULL, founder, Hull Trading Company "The book is a timely, thorough, and thoughtful survey of the vast finance and accounting academic literature on market anomalies-a must-read for academics, PhD students, and practitioners." -STANIMIR MARKOV, Associate Professor of Accounting, The University of Texas at Dallas "This compendium is extraordinarily thought-provoking. I am astonished by the breadth of its coverage." - PROFESSOR ELROY DIMSON, London School of Business; coauthor of?Triumph of the Optimists "This guide to an enormous amount of research is a must for any investor attempting to exploit so-called anomalies in the stock market. The research leaves an open question: Are anomalous stock returns a free lunch, easily exploited, or is the investor just loading up on risk? This handbook brings the research to life for the active investor and, by confronting this question, does so with the appropriate caution so that the investor has some sense of whether these anomalous returns can be earned in real time." -Stephen Penman, George O. May Professor, Columbia Business School; and author of Accounting for Value "In this handbook, seers of the profession provide a lucid, accessible summary of four decades of rigorous finance research on stock market anomalies to guide your investment strategies in search of alpha.'? I particularly like the authors balanced treatment of the issues:? while recognizing the competitive and challenging task of beating the market, they are able to explain which strategies might work and why.'? This is a must-read for any institutional or individual investor seeking to consistently outperform the market." -S.P. Kothari, Deputy Dean and Gordon Y Billard Professor of Management, MIT Sloan School of Management "This is an encyclopedic synopsis of academic research on stock return predictability. The reference lists alone are worth the price of admission. Remarkable in its ability to combine academic rigor with lucid prose, it is a treasure trove of ideas for serious investors. They wouldnt necessarily admit it, but many professional asset managers will be reading this book-and those not doing so, should be." -Charles M. C. Lee, Joseph McDonald Professor of Accounting, Robert and Marilyn Jaedicke Faculty Fellow for 2010-2011, Stanford University
Main Description
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.
Main Description
The Zacks Handbook of Investment Anomalies will be the definitive work that presents and updates academic and practitioner research on market inefficiencies that can be translated into effective investment strategies. Edited by Len Zacks, a CEO of Zacks Investment Research, the book will explore earnings revisions and surprises; trading by company insiders; stock price momentum patterns; low price-earnings ratios; sector characteristics; seasonal patterns and other areas or market inefficiencies. The goal will be to present historical research on definable situations where particular stocks outperform the overall market. The insights from the research can then be utilized to construct a market-beating strategy going forward. While many of the chapters will be written by academics, an effort will be made to make the articles engaging and interesting to investment practitioners. The initial table of contents might be something like: Theoretical Framework within which to discuss market inefficiencies EPS Surprises- trading around EPS announcement dates Estimate Revisions - the oldest anomaly Insider Trading - it works if you clean the data Balance Sheet Accruals - longer term profits Price Momentum - 50 ways to measure it , do any work ? Low PE - when , why, and does it work Best Anomalies in each Sector - what works in each Sector Academically sound Technical Analysis - it's a new world Calendar based anomalies - do they exist ,can you make money using them Anomalies in Non US Markets ( 1 to 10 outside the US ) Selecting Mutual Funds -can you predict manager performance High Frequency trading anomalies - got a second?
Table of Contents
Prefacep. xi
Acknowledgmentsp. xvii
Conceptual Foundations of Capital Market Anomaliesp. 1
Efficient Marketsp. 2
Identifying Anomalies in Capital Marketsp. 3
Explaining Anomaliesp. 5
Anomalies: Weighing the Evidencep. 10
Appendix 1.1: Risk and Expected-Return Modelsp. 10
Referencesp. 17
The Accrual Anomalyp. 23
What Are Accruals?p. 24
Sloan (1996) in a Nutshellp. 32
Extensions of Sloan (1996)p. 38
Alternative Explanations for the Accrual Anomalyp. 45
Practical Implicationsp. 51
Appendix 2.1: Estimation and Testing Framework Used in Sloan (1996)p. 52
Appendix 2.2: Details on the Broader Definition of Accrualsp. 54
Referencesp. 59
The Analyst Recommendation and Earnings Forecast Anomalyp. 63
Role of Research Analystsp. 63
Investment Recommendationsp. 64
Earnings Forecast Revisionsp. 73
Determinants of Forecast Revisionsp. 76
International Evidencep. 78
Overview of the Investment Performance of Forecast Revisionsp. 79
Appendix 3-1: Details of Returns to recommendation Strategiesp. 79
Referencesp. 87
Post-Earnings Announcement Drift and related anomaliesp. 91
The Basics of the anomalyp. 92
Measuring earnings surprisesp. 99
Sources of Post-earnings announcement driftp. 102
Extentionsp. 106
Institutional Investorsp. 108
Individual Investorsp. 110
Referencesp. 112
Fundamental Data Anomaliesp. 117
Fundamental Metricsp. 118
Distress Riskp. 122
Capital Investment and Growth Anomaliesp. 123
International Evidencep. 125
Conclusionp. 126
Referencesp. 126
Net Stock Anomaliesp. 129
Initial Public Offeringsp. 130
Seasoned Equity Offeringsp. 132
Debt Issuancesp. 133
Share Repurchases and Tender Offersp. 134
Dividend Initiation and Omissionsp. 136
Private Equity Placementp. 138
Overall Net External Financingp. 138
Mergers and Acquisitionsp. 141
International Evidencep. 142
Other Explanations for the Abnormal Returnsp. 143
Referencesp. 144
The Insider Trading Anomalyp. 147
Overview of Insider Filingsp. 148
Documentation of the Anomalyp. 148
Results for the 1978-2005 Periodp. 150
How Consistent Is the Anomaly Year by Year?p. 152
When Are Returns Generated during the 1-Year Holding Periods?p. 154
Returns in Small Cap versus Large Capp. 155
Does It Work on the Short Side?p. 156
Do Returns Vary by Industry?p. 160
Institutional Investorsp. 162
Individual Investorsp. 162
Relation to other Anomaliesp. 163
International Evidencep. 164
Can Insider Data -Predict-SSP 500 Returns?p. 165
Latest Developmentsp. 166
Long/Short Strategy for Institutional Investorsp. 167
Referencesp. 170
Momentum, The Technical Analysis Anomalyp. 173
History of Technical Analysis and Momentump. 176
Assessing Momentum and Reversal in Stock Pricesp. 178
Early Influential Work on Momentum and Reversalsp. 179
Improving Upon Momentum Strategiesp. 184
Moving Averagesp. 186
52-Week High/Lowp. 187
Momentum at Industry Levelsp. 188
Momentum and Mutual Fundsp. 189
Is Technical Analysis Profitable?p. 190
Institutional Investorsp. 193
Explanations for Momentum and Reversalsp. 195
International Evidencep. 198
Referencesp. 200
Seasonal Anomaliesp. 205
January Effectp. 206
The January Barometerp. 213
Sell-in-May-and-Go-Awayp. 221
Holiday Effectsp. 226
Day-of-the-Week Effectsp. 231
Seasonality Calendarsp. 234
Political Effectsp. 237
Turn-of-the-Month Effectsp. 248
Open/Close Daily Trade on the Openp. 254
Weather: Sun, Rain, Snow, Moon, and the Starsp. 255
Conclusions and Final Remarksp. 256
Referencesp. 256
Size and Value Anomaliesp. 265
The Early Daysp. 265
Fama-French Three-Factor Modelp. 266
Value Anomaly: Risk or Mispricing?p. 267
Alternative Value Indicatorsp. 269
Time Variation in the Value Premiump. 270
Cross-Sectional Variation in the Value Premiump. 273
Anatomy of the Size Anomalyp. 275
International Evidencep. 278
Value Premium: Evidence from Alternative Asset Classesp. 279
Referencesp. 281
Anomaly-Based Processes for the Individual Investorp. 285
Increasing Returns Using Market Neutralp. 286
Using ETFs to Add a Market Neutral Asset to a Portfoliop. 291
Using Stock Scoring Systems to Outperform Indexesp. 292
Implementation of Anomaly-Based Quant Processesp. 296
End of the Tourp. 305
Referencesp. 305
Use of Anormaly Research by Professiona Investorsp. 307
From Academia to Wall Streetp. 307
Statistical Arbitragep. 308
High-Frequency Tradingp. 309
Multifactor Modelsp. 309
Assets in Market Neutral Portfoliosp. 310
Assets in Long Portfoliosp. 311
United States versus Internationalp. 313
Referencesp. 314
About the Contributorsp. 317
Indexp. 323
Table of Contents provided by Ingram. All Rights Reserved.

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