{"product_id":"the-handbook-of-equity-market-anomalies-isbn-9780470905906","title":"The Handbook of Equity Market Anomalies","description":"\u003cb\u003eInvestment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies\u003c\/b\u003e  \u003cp\u003e\u003ci\u003eThe Handbook of Equity Market Anomalies\u003c\/i\u003e 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.\u003c\/p\u003e \u003cp\u003eSome 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.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eStrips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature\u003c\/li\u003e \u003cli\u003eProvides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies\u003c\/li\u003e \u003cli\u003eAnomalies are selected by Len Zacks, a pioneer in the field of investing\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eAs 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.\u003c\/p\u003e \u003cp\u003ePreface xi\u003c\/p\u003e \u003cp\u003eAcknowledgments xvii\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 1 \u003c\/b\u003e\u003cb\u003eConceptual Foundations of Capital\u003c\/b\u003e \u003cb\u003eMarket Anomalies 1\u003cbr\u003e\u003c\/b\u003e\u003ci\u003eMozaffar Khan\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eEfficient Markets 2\u003c\/p\u003e \u003cp\u003eIdentifying Anomalies in Capital Markets 3\u003c\/p\u003e \u003cp\u003eExplaining Anomalies 5\u003c\/p\u003e \u003cp\u003eAnomalies: Weighing the Evidence 10\u003c\/p\u003e \u003cp\u003eAppendix 1.1: Risk and Expected-Return Models 10\u003c\/p\u003e \u003cp\u003eReferences 17\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 2 \u003c\/b\u003e\u003cb\u003eThe Accrual Anomaly 23\u003cbr\u003e\u003c\/b\u003e\u003ci\u003ePatricia M. Dechow, Natalya V. Khimich, and Richard G. Sloan\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eWhat Are Accruals? 24\u003c\/p\u003e \u003cp\u003eSloan (1996) in a Nutshell 32\u003c\/p\u003e \u003cp\u003eExtensions of Sloan (1996) 38\u003c\/p\u003e \u003cp\u003eAlternative Explanations for the Accrual Anomaly 45\u003c\/p\u003e \u003cp\u003ePractical Implications 51\u003c\/p\u003e \u003cp\u003eAppendix 2.1: Estimation and Testing Framework Used in Sloan (1996) 52\u003c\/p\u003e \u003cp\u003eAppendix 2.2: Details on the Broader Definition of Accruals 54\u003c\/p\u003e \u003cp\u003eReferences 59\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 3 \u003c\/b\u003e\u003cb\u003eThe Analyst Recommendation and Earnings Forecast Anomaly 63\u003cbr\u003e\u003c\/b\u003e\u003ci\u003eGeorge Serafeim\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eRole of Research Analysts 63\u003c\/p\u003e \u003cp\u003eInvestment Recommendations 64\u003c\/p\u003e \u003cp\u003eEarnings Forecast Revisions 73\u003c\/p\u003e \u003cp\u003eDeterminants of Forecast Revisions 76\u003c\/p\u003e \u003cp\u003eInternational Evidence 78\u003c\/p\u003e \u003cp\u003eOverview of the Investment Performance of\u003c\/p\u003e \u003cp\u003eForecast Revisions 79\u003c\/p\u003e \u003cp\u003eAppendix 3.1: Details of Returns to\u003c\/p\u003e \u003cp\u003eRecommendation Strategies 79\u003c\/p\u003e \u003cp\u003eReferences 87\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 4 \u003c\/b\u003e\u003cb\u003ePost-Earnings Announcement Drift and Related Anomalies 91\u003cbr\u003e\u003c\/b\u003e\u003ci\u003eDaniel Taylor\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eThe Basics of the Anomaly 92\u003c\/p\u003e \u003cp\u003eMeasuring Earnings Surprises 99\u003c\/p\u003e \u003cp\u003eSources of Post-Earnings Announcement Drift 102\u003c\/p\u003e \u003cp\u003eExtensions 106\u003c\/p\u003e \u003cp\u003eInstitutional Investors 108\u003c\/p\u003e \u003cp\u003eIndividual Investors 110\u003c\/p\u003e \u003cp\u003eReferences 112\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 5 \u003c\/b\u003e\u003cb\u003eFundamental Data Anomalies 117\u003cbr\u003e\u003c\/b\u003e\u003ci\u003eIan Gow\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eFundamental Metrics 118\u003c\/p\u003e \u003cp\u003eDistress Risk 122\u003c\/p\u003e \u003cp\u003eCapital Investment and Growth Anomalies 123\u003c\/p\u003e \u003cp\u003eInternational Evidence 125\u003c\/p\u003e \u003cp\u003eConclusion 126\u003c\/p\u003e \u003cp\u003eReferences 126\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 6 \u003c\/b\u003e\u003cb\u003eNet Stock Anomalies 129\u003cbr\u003e\u003c\/b\u003e\u003ci\u003eDaniel Cohen, Thomas Lys, and Tzachi Zach\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eInitial Public Offerings 130\u003c\/p\u003e \u003cp\u003eSeasoned Equity Offerings 132\u003c\/p\u003e \u003cp\u003eDebt Issuances 133\u003c\/p\u003e \u003cp\u003eShare Repurchases and Tender Offers 134\u003c\/p\u003e \u003cp\u003eDividend Initiation and Omissions 136\u003c\/p\u003e \u003cp\u003ePrivate Equity Placement 138\u003c\/p\u003e \u003cp\u003eOverall Net External Financing 138\u003c\/p\u003e \u003cp\u003eMergers and Acquisitions 141\u003c\/p\u003e \u003cp\u003eInternational Evidence 142\u003c\/p\u003e \u003cp\u003eOther Explanations for the Abnormal Returns 143\u003c\/p\u003e \u003cp\u003eReferences 144\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 7 \u003c\/b\u003e\u003cb\u003eThe Insider Trading Anomaly 147\u003cbr\u003e\u003c\/b\u003e\u003ci\u003eIan Dogan\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eOverview of Insider Filings 148\u003c\/p\u003e \u003cp\u003eDocumentation of the Anomaly 148\u003c\/p\u003e \u003cp\u003eResults for the 1978–2005 Period 150\u003c\/p\u003e \u003cp\u003eHow Consistent Is the Anomaly Year by Year? 152\u003c\/p\u003e \u003cp\u003eWhen Are Returns Generated during the 1-Year Holding Periods? 154\u003c\/p\u003e \u003cp\u003eReturns in Small Cap versus Large Cap 155\u003c\/p\u003e \u003cp\u003eDoes It Work on the Short Side? 156\u003c\/p\u003e \u003cp\u003eDo Returns Vary by Industry? 160\u003c\/p\u003e \u003cp\u003eInstitutional Investors 162\u003c\/p\u003e \u003cp\u003eIndividual Investors 162\u003c\/p\u003e \u003cp\u003eRelation to Other Anomalies 163\u003c\/p\u003e \u003cp\u003eInternational Evidence 164\u003c\/p\u003e \u003cp\u003eCan Insider Data Predict S\u0026amp;P 500 Returns? 165\u003c\/p\u003e \u003cp\u003eLatest Developments 166\u003c\/p\u003e \u003cp\u003eLong\/Short Strategy for Institutional Investors 167\u003c\/p\u003e \u003cp\u003eReferences 170\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 8 \u003c\/b\u003e\u003cb\u003eMomentum: The Technical Analysis Anomaly 173\u003cbr\u003e\u003c\/b\u003e\u003ci\u003eLee M. Dunham\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eHistory of Technical Analysis and Momentum 176\u003c\/p\u003e \u003cp\u003eAssessing Momentum and Reversal in Stock Prices 178\u003c\/p\u003e \u003cp\u003eEarly Influential Work on Momentum and Reversals 179\u003c\/p\u003e \u003cp\u003eImproving Upon Momentum Strategies 184\u003c\/p\u003e \u003cp\u003eMoving Averages 186\u003c\/p\u003e \u003cp\u003e52-Week High\/Low 187\u003c\/p\u003e \u003cp\u003eMomentum at Industry Levels 188\u003c\/p\u003e \u003cp\u003eMomentum and Mutual Funds 189\u003c\/p\u003e \u003cp\u003eIs Technical Analysis Profitable? 190\u003c\/p\u003e \u003cp\u003eInstitutional Investors 193\u003c\/p\u003e \u003cp\u003eExplanations for Momentum and Reversals 195\u003c\/p\u003e \u003cp\u003eInternational Evidence 198\u003c\/p\u003e \u003cp\u003eReferences 200\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 9 \u003c\/b\u003e\u003cb\u003eSeasonal Anomalies 205\u003cbr\u003e\u003c\/b\u003e\u003ci\u003eConstantine Dzhabarov and William T. Ziemba\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eJanuary Effect 206\u003c\/p\u003e \u003cp\u003eThe January Barometer 213\u003c\/p\u003e \u003cp\u003eSell-in-May-and-Go-Away 221\u003c\/p\u003e \u003cp\u003eHoliday Effects 226\u003c\/p\u003e \u003cp\u003eDay-of-the-Week Effects 231\u003c\/p\u003e \u003cp\u003eSeasonality Calendars 234\u003c\/p\u003e \u003cp\u003ePolitical Effects 237\u003c\/p\u003e \u003cp\u003eTurn-of-the-Month Effects 248\u003c\/p\u003e \u003cp\u003eOpen\/Close Daily Trade on the Open 254\u003c\/p\u003e \u003cp\u003eWeather: Sun, Rain, Snow, Moon, and the Stars 255\u003c\/p\u003e \u003cp\u003eConclusions and Final Remarks 256\u003c\/p\u003e \u003cp\u003eReferences 256\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 10 \u003c\/b\u003e\u003cb\u003eSize and Value Anomalies 265\u003cbr\u003e\u003c\/b\u003e\u003ci\u003eOleg A. Rytchkov\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eThe Early Days 265\u003c\/p\u003e \u003cp\u003eFama-French Three-Factor Model 266\u003c\/p\u003e \u003cp\u003eValue Anomaly: Risk or Mispricing? 267\u003c\/p\u003e \u003cp\u003eAlternative Value Indicators 269\u003c\/p\u003e \u003cp\u003eTime Variation in the Value Premium 270\u003c\/p\u003e \u003cp\u003eCross-Sectional Variation in the Value Premium 273\u003c\/p\u003e \u003cp\u003eAnatomy of the Size Anomaly 275\u003c\/p\u003e \u003cp\u003eInternational Evidence 278\u003c\/p\u003e \u003cp\u003eValue Premium: Evidence from Alternative Asset\u003c\/p\u003e \u003cp\u003eClasses 279\u003c\/p\u003e \u003cp\u003eReferences 281\u003c\/p\u003e \u003cp\u003e\u003cb\u003eCHAPTER 11 \u003c\/b\u003e\u003cb\u003eAnomaly-Based Processes for the Individual Investor 285\u003cbr\u003e\u003c\/b\u003e\u003ci\u003eLeonard Zacks\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003eIncreasing Returns Using Market Neutral 286\u003c\/p\u003e \u003cp\u003eUsing ETFs to Add a Market Neutral Asset to a Portfolio 291\u003c\/p\u003e \u003cp\u003eUsing Stock Scoring Systems to Outperform Indexes 292\u003c\/p\u003e \u003cp\u003eImplementation of Anomaly-Based Quant Processes 296\u003c\/p\u003e \u003cp\u003eEnd of the Tour 305\u003c\/p\u003e \u003cp\u003eReferences 305\u003c\/p\u003e \u003cp\u003eAPPENDIX Use of Anomaly Research by Professional Investors 307\u003c\/p\u003e \u003cp\u003eFrom Academia to Wall Street 307\u003c\/p\u003e \u003cp\u003eStatistical Arbitrage 308\u003c\/p\u003e \u003cp\u003eHigh-Frequency Trading 309\u003c\/p\u003e \u003cp\u003eMultifactor Models 309\u003c\/p\u003e \u003cp\u003eAssets in Market Neutral Portfolios 310\u003c\/p\u003e \u003cp\u003eAssets in Long Portfolios 311\u003c\/p\u003e \u003cp\u003eUnited States versus International 313\u003c\/p\u003e \u003cp\u003eReferences 314\u003c\/p\u003e \u003cp\u003eAbout the Contributors 317\u003c\/p\u003e \u003cp\u003eIndex 323\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eLEONARD ZACKS\u003c\/b\u003e has been Chairman and CEO of Zacks Investment Research since 1978. Prior to that, he held several positions with A.G. Becker, a Chicago-based brokerage firm, including investment analyst, assistant to the president, and product development manager. Zacks was an associate at McKinsey \u0026amp; Company in New York and an analyst at the Rand Corporation in California. He holds a PhD in operations research from the Massachusetts Institute of Technology.   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.  \u003c\/p\u003e\u003cp\u003eEngaging and informative, \u003ci\u003eThe Handbook of Equity Market Anomalies\u003c\/i\u003e 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.\u003c\/p\u003e \u003cp\u003eSome 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.\u003c\/p\u003e \u003cp\u003eAnd 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.\u003c\/p\u003e \u003cp\u003eA 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.\u003c\/p\u003e  \u003cp\u003eAs 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.  \u003c\/p\u003e\u003cp\u003eEngaging and informative, \u003ci\u003eThe Handbook of Equity Market Anomalies\u003c\/i\u003e 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.  \u003c\/p\u003e\u003cp\u003eSome 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.  \u003c\/p\u003e\u003cp\u003eAnd 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.  \u003c\/p\u003e\u003cp\u003eA 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.\u003cb\u003e\u003c\/b\u003e\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47990248472805,"sku":"NP9780470905906","price":80.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470905906.jpg?v=1761787058","url":"https:\/\/k12savings.com\/products\/the-handbook-of-equity-market-anomalies-isbn-9780470905906","provider":"K12savings","version":"1.0","type":"link"}