The Handbook of Equity Market Anomalies

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?

Leonard Zacks 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 & 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.

Preface	p. xi
Acknowledgments	p. xvii
Conceptual Foundations of Capital Market Anomalies	p. 1
Efficient Markets	p. 2
Identifying Anomalies in Capital Markets	p. 3
Explaining Anomalies	p. 5
Anomalies: Weighing the Evidence	p. 10
Appendix 1.1: Risk and Expected-Return Models	p. 10
References	p. 17
The Accrual Anomaly	p. 23
What Are Accruals?	p. 24
Sloan (1996) in a Nutshell	p. 32
Extensions of Sloan (1996)	p. 38
Alternative Explanations for the Accrual Anomaly	p. 45
Practical Implications	p. 51
Appendix 2.1: Estimation and Testing Framework Used in Sloan (1996)	p. 52
Appendix 2.2: Details on the Broader Definition of Accruals	p. 54
References	p. 59
The Analyst Recommendation and Earnings Forecast Anomaly	p. 63
Role of Research Analysts	p. 63
Investment Recommendations	p. 64
Earnings Forecast Revisions	p. 73
Determinants of Forecast Revisions	p. 76
International Evidence	p. 78
Overview of the Investment Performance of Forecast Revisions	p. 79
Appendix 3-1: Details of Returns to recommendation Strategies	p. 79
References	p. 87
Post-Earnings Announcement Drift and related anomalies	p. 91
The Basics of the anomaly	p. 92
Measuring earnings surprises	p. 99
Sources of Post-earnings announcement drift	p. 102
Extentions	p. 106
Institutional Investors	p. 108
Individual Investors	p. 110
References	p. 112
Fundamental Data Anomalies	p. 117
Fundamental Metrics	p. 118
Distress Risk	p. 122
Capital Investment and Growth Anomalies	p. 123
International Evidence	p. 125
Conclusion	p. 126
References	p. 126
Net Stock Anomalies	p. 129
Initial Public Offerings	p. 130
Seasoned Equity Offerings	p. 132
Debt Issuances	p. 133
Share Repurchases and Tender Offers	p. 134
Dividend Initiation and Omissions	p. 136
Private Equity Placement	p. 138
Overall Net External Financing	p. 138
Mergers and Acquisitions	p. 141
International Evidence	p. 142
Other Explanations for the Abnormal Returns	p. 143
References	p. 144
The Insider Trading Anomaly	p. 147
Overview of Insider Filings	p. 148
Documentation of the Anomaly	p. 148
Results for the 1978-2005 Period	p. 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 Cap	p. 155
Does It Work on the Short Side?	p. 156
Do Returns Vary by Industry?	p. 160
Institutional Investors	p. 162
Individual Investors	p. 162
Relation to other Anomalies	p. 163
International Evidence	p. 164
Can Insider Data -Predict-SSP 500 Returns?	p. 165
Latest Developments	p. 166
Long/Short Strategy for Institutional Investors	p. 167
References	p. 170
Momentum, The Technical Analysis Anomaly	p. 173
History of Technical Analysis and Momentum	p. 176
Assessing Momentum and Reversal in Stock Prices	p. 178
Early Influential Work on Momentum and Reversals	p. 179
Improving Upon Momentum Strategies	p. 184
Moving Averages	p. 186
52-Week High/Low	p. 187
Momentum at Industry Levels	p. 188
Momentum and Mutual Funds	p. 189
Is Technical Analysis Profitable?	p. 190
Institutional Investors	p. 193
Explanations for Momentum and Reversals	p. 195
International Evidence	p. 198
References	p. 200
Seasonal Anomalies	p. 205
January Effect	p. 206
The January Barometer	p. 213
Sell-in-May-and-Go-Away	p. 221
Holiday Effects	p. 226
Day-of-the-Week Effects	p. 231
Seasonality Calendars	p. 234
Political Effects	p. 237
Turn-of-the-Month Effects	p. 248
Open/Close Daily Trade on the Open	p. 254
Weather: Sun, Rain, Snow, Moon, and the Stars	p. 255
Conclusions and Final Remarks	p. 256
References	p. 256
Size and Value Anomalies	p. 265
The Early Days	p. 265
Fama-French Three-Factor Model	p. 266
Value Anomaly: Risk or Mispricing?	p. 267
Alternative Value Indicators	p. 269
Time Variation in the Value Premium	p. 270
Cross-Sectional Variation in the Value Premium	p. 273
Anatomy of the Size Anomaly	p. 275
International Evidence	p. 278
Value Premium: Evidence from Alternative Asset Classes	p. 279
References	p. 281
Anomaly-Based Processes for the Individual Investor	p. 285
Increasing Returns Using Market Neutral	p. 286
Using ETFs to Add a Market Neutral Asset to a Portfolio	p. 291
Using Stock Scoring Systems to Outperform Indexes	p. 292
Implementation of Anomaly-Based Quant Processes	p. 296
End of the Tour	p. 305
References	p. 305
Use of Anormaly Research by Professiona Investors	p. 307
From Academia to Wall Street	p. 307
Statistical Arbitrage	p. 308
High-Frequency Trading	p. 309
Multifactor Models	p. 309
Assets in Market Neutral Portfolios	p. 310
Assets in Long Portfolios	p. 311
United States versus International	p. 313
References	p. 314
About the Contributors	p. 317
Index	p. 323
Table of Contents provided by Ingram. All Rights Reserved.

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The Handbook of Equity Market Anomalies Translating Market Inefficiencies into Effective Investment Strategies

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