Calendar Anomalies And Arbitrage - William T (Univ Of British Columbia Ziemba - Bog

Discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. This title deals with US anomalies such as the January turn-of-the year, turn-of-the-month, January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects concentrating on the futures markets.