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.
Table of contents
- Title Page
- Chapter 1: Conceptual Foundations of Capital Market Anomalies
- Chapter 2: The Accrual Anomaly
- Chapter 3: The Analyst Recommendation and Earnings Forecast Anomaly
- Chapter 4: Post-Earnings Announcement Drift and Related Anomalies
- Chapter 5: Fundamental Data Anomalies
- Chapter 6: Net Stock Anomalies
Chapter 7: The Insider Trading Anomaly
- Overview of Insider Filings
- Documentation of the Anomaly
- Results for the 1978–2005 Period
- How Consistent Is the Anomaly Year by Year?
- When Are Returns Generated during the 1-Year Holding Periods?
- Returns in Small Cap versus Large Cap
- Does It Work on the Short Side?
- Do Returns Vary by Industry?
- Institutional Investors
- Individual Investors
- Relation to Other Anomalies
- International Evidence
- Can Insider Data Predict S&P 500 Returns?
- Latest Developments
- Long/Short Strategy for Institutional Investors
Chapter 8: Momentum: The Technical Analysis Anomaly
- History of Technical Analysis and Momentum
- Assessing Momentum and Reversal in Stock Prices
- Early Influential Work on Momentum and Reversals
- Improving Upon Momentum Strategies
- Moving Averages
- 52-Week High/Low
- Momentum at Industry Levels
- Momentum and Mutual Funds
- Is Technical Analysis Profitable?
- Institutional Investors
- Explanations for Momentum and Reversals
- International Evidence
- Chapter 9: Seasonal Anomalies
- Chapter 10: Size and Value Anomalies
- Chapter 11: Anomaly-Based Processes for the Individual Investor
- Appendix: Use of Anomaly Research by Professional Investors
- About the Contributors
- Title: The Handbook of Equity Market Anomalies: Translating Market Inefficiencies into Effective Investment Strategies
- Release date: October 2011
- Publisher(s): Wiley
- ISBN: 9780470905906
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