Cover image for Beyond the random walk : a guide to stock market anomalies and low-risk investing
Title:
Beyond the random walk : a guide to stock market anomalies and low-risk investing
Author:
Singal, Vijay.
Personal Author:
Publication Information:
Oxford ; New York : Oxford University Press, 2004.
Physical Description:
xvi, 350 pages : illustrations ; 24 cm.
Language:
English
ISBN:
9780195158670
Format :
Book

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HG4521 .S576 2004 Adult Non-Fiction Non-Fiction Area
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Summary

Summary

In an efficient market, all stocks should be valued at a price that is consistent with available information. But as financial expert Vijay Singal, Ph.D., CFA, points out, there are circumstances under which certain stocks sell at a price higher or lower than the right price. In Beyond theRandom Walk, Singal discusses ten such anomalous prices and shows how investors might--or might not--be able to exploit these situations for profit. The author distills several decades of academic research into a focused discussion of market anomalies that is both accessible and useful to people with varied backgrounds. Past empirical evidence is supplemented with author's own research using more recent data. Anomalies covered include the"December Effect," "Momentum in Industry Stocks," "SandP 500 Index Changes," "Trading by Insiders," and "Merger Arbitrage." In each chapter, the author describes the particular anomaly, explains how it occurs, shows ways to take advantage of the anomaly, and highlights the risks involved. We learn,for example, that shares of stocks that have appreciated in recent months become scarce in late December, because investors wait until January before they sell (to postpone payment of taxes on profits). This scarcity drives the price up--the "December Effect"--and smart buyers can make theequivalent of 75% annual return on a five-day investment. Each chapter includes suggestions for further reading as well as tables and graphs that support the discussion. The book concludes with a preview of many other interesting anomalies and a section on how investor behavior might influenceprices. Clearly written and informative, this well-researched volume is a must read for investors, traders, market specialists, and students of financial markets.


Author Notes

Vijay Singal is J. Gray Ferguson Professor of Finance and Chairperson of the Finance Department at the Pamplin College of Business of Virginia Tech.


Table of Contents

Prefacep. ix
Acknowledgmentsp. xv
1 Market Efficiency and Anomaliesp. 1
2 The January Effect and the New December Effectp. 23
3 The Weekend Effectp. 40
4 Short-Term Price Driftp. 56
5 Momentum in Industry Portfoliosp. 78
6 Mispricing of Mutual Fundsp. 104
7 Trading by Insidersp. 134
8 Changes to the S&P 500 Indexp. 163
9 Merger Arbitragep. 196
10 International Investing and the Home Biasp. 232
11 Bias in Currency Forward Ratesp. 259
12 Understanding and Learning from Behavioral Financep. 284
13 A Description of Other Possible Mispricingsp. 298
Appendix A Financial Instrumentsp. 318
Appendix B Short Sellingp. 323
Appendix C Hedging Market Returnp. 328
Indexp. 331