Calendar Anomalies And Arbitrage - Ziemba, William T (Univ Of British Columbia, Canada a London Sch Of Economics, Uk a Korea Inst Of Science And Technology, Korea)

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.