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zacks l handbook eequity market anomalies 2011

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Textbook in PDF format Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies 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. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing 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. Conceptual Foundations of Capital Market Anomalies Efficient Markets Identifying Anomalies in Capital Markets Explaining Anomalies Anomalies: Weighing the Evidence Appendix 1.1: Risk and Expected-Return Models The Accrual Anomaly What Are Accruals? Sloan (1996) in a Nutshell Extensions of Sloan (1996) Alternative Explanations for the Accrual Anomaly Practical Implications Appendix 2.1: Estimation and Testing Framework Used in Sloan (1996) Appendix 2.2: Details on the Broader Definition of Accruals 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 3.1: Details of Returns to Recommendation Strategies 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 Fundamental Data Anomalies Fundamental Metrics Distress Risk Capital Investment and Growth Anomalies International Evidence Conclusion 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 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 1-Year Holding Periods? Returns in Small Cap versus Large Cap Does It Work on the Short Side? 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 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 Improving Upon 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 Seasonal Anomalies January Effect The 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 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 the Value Premium Cross-Sectional Variation in the Value Premium Anatomy of the Size Anomaly International Evidence Value Premium: Evidence from Alternative Asset Classes 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. Use of Anomaly Research by Professional Investors From Academia to Wall Street Statistical Arbitrage High-Frequency Trading Multifactor Models Assets in Market Neutral Portfolios Assets in Long Portfolios United States versus International

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zacks l handbook eequity market anomalies 2011