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.
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.
Acknowledgements.
Chapter 1: Conceptual Foundations of Capital Market Anomalies.
Efficient Markets.
Identifying Anomalies in Capital Markets.
Explaining Anomalies.
Anomalies: Weighing the Evidence.
Appendix 1A: Risk and Expected Return Models.
Chapter 2: The Accrual Anomaly.
What Are Accruals?
Sloan's Research in a Nutshell.
Extensions of Sloan's Research.
Alternative Explanations for the Accrual Anomaly.
Practical Implications.
Appendix 2A: Estimation and Testing Framework used in Sloan's Research.
Appendix 2B: Details on the Broader Definition of Accruals.
Chapter 3: The Analyst Recommendation and Earnings Forecast Anomaly.
Role of Research Analysts.
Investment Recommendations.
Earnings Forecast Revisions.
Determinants of Forecast Revisions.
International Evidence.
Overview of the Investment Performance of Forecast Revisions.
Appendix 3A: Details of Returns to Recommendation Strategies.
Chapter 4: Post-Earnings Announcement Drift and Related Anomalies.
The Basics of the Anomaly.
Measuring Earnings Surprises.
Sources of Post-Earnings Announcement Drift.
Extensions.
Institutional Investors.
Individual Investors.
Chapter 5: Fundamental Data Anomalies.
Fundamental Metrics.
Distress Risk.
Capital Investment and Growth Anomalies.
International Evidence.
Conclusion.
Chapter 6: Net Stock Anomalies.
Initial Public Offerings.
Seasoned Equity Offerings.
Debt Issuances.
Share Repurchases and Tender Offers.
Dividend Initiation and Omissions.
Private Equity Placement.
Overall Net External Financing.
Mergers and Acquisitions.
International Evidence.
Other Explanations for the Abnormal Returns.
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 One Year Holding Periods?
Returns in Small Cap Companies vs. Large Cap Companies.
Does it Work on the Short Side?
Short Strategy Based on 1978-2005 Data.
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.
Building Better 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.
Introduction to Seasonal Anomaly Effects.
January Effect.
The January Barometer.
How to Trade the January Barometer (JanB).
The International January Barometer.
Sell-in-May-and-go-away.
Holiday Effects.
Day of the Week Effects.
Seasonality Calendars.
Political Effects.
Turn-of-the-month Effects.
Open/Close Daily Trade on the Open.
Weather: Sun, Rain, Snow, Moon and the Stars and Clouds.
Conclusions and Final Remarks.
Chapter 10: Size and Value Anomalies.
The Early Days.
Fama-French Three-Factor Model.
Value Anomaly: Risk or Mispricing?
Alternative Value Indicators.
Time Variation in Value Premium.
Cross-Sectional Variation in the Value Premium.
Anatomy of the Size Anomaly.
International Evidence.
Value Premium: Evidence from Alternative Asset Classes.
Chapter 11: Anomaly-based Processes for the Individual Investor.
Increasing Returns Using Market Neutral.
Using ETFs to Add a Market Neutral Asset to a Portfolio
Using Stock Scoring Systems to Outperform Indexes.
Implementation of Anomaly Based Quant Processes.
End of the Tour.
Appendix A: Use of Anomaly Research by Professional Investors.
From Academia to Wall Street.
Statistical Arbitrage.
High Frequency Trading.
Multi Factor Models.
Assets in Market Neutral Portfolios using Multi Factor Models.
Assets in Long Portfolios Using Multifactor Processes.
US vs International.
About the Contributors.
Index.
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