Closing the Question on the Continuation of Turn-of-the-month Effects
Author: Edwin D. Maberly
Publisher:
Published: 2000
Total Pages: 30
ISBN-13:
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Author: Edwin D. Maberly
Publisher:
Published: 2000
Total Pages: 30
ISBN-13:
DOWNLOAD EBOOKAuthor: Edwin D. Maberly
Publisher:
Published: 2014
Total Pages: 28
ISBN-13:
DOWNLOAD EBOOKPrior research documents unusually high returns on the last trading day of the month and over the next three consecutive trading days. This phenomenon is known as the turn-of-the-month (TOTM) effect. According to Siegel (1998), why these anomalies occur is not well understood, and whether they will continue to be significant in the future is an open question. In this paper, we examine the Samp;P 500 futures contract for evidence that turn-of-the-month effects have continued. Transaction costs are low for index futures, and the absence of short-sale restrictions makes index futures an attractive venue for testing the continuation of market anomalies because of the low cost of arbitrage. We find that TOTM effects for Samp;P 500 futures disappear after 1990, and this result carries over to the Samp;P 500 spot market. We conjecture that a change in the preference of individual investors over time from making direct to making indirect stock purchases through mutual funds is related to the disappearance of the TOTM effect for more recent return data. In this paper, we argue that turn-of-the-month return patterns for both spot and futures prices are dynamic and related to market microstructure and therefore subject to change without notice. Financial economists should be careful when making out-of-sample inferences from observed in-sample return regularities.
Author: Jeff Augen
Publisher: Cisco Press
Published: 2011-04-18
Total Pages: 209
ISBN-13: 0132619547
DOWNLOAD EBOOKTrade more profitably by exploiting Microsoft Excel’s powerful statistical and data mining tools: · Uncover subtle anomalies and distortions that signal profit opportunities · Create powerful new custom indicators, alerts, and trading models · Visualize and analyze huge amounts of trading data with just a few clicks · Powerful techniques for every active investor who can use Excel Now that high-speed traders dominate the market, yesterday’s slower-paced analysis strategies are virtually worthless. To outperform, individual traders must discover fleeting market trends and inefficiencies and act on them before they disappear. Five years ago, this required multimillion-dollar data mining and analytical infrastructures. Today, traders can use Excel with the help of world-class trader Jeff Augen’s Microsoft Excel for Stock and Option Traders: Build your Own Analytical Tools for Higher Returns. Augen shows how to use Excel 2007 or 2010 to uncover hidden correlations and reliable trade triggers based on subtle anomalies and price distortions, create and test new hypotheses others haven’t considered, and visualize data to reveal insights others can’t see! "Jeff Augen turns things inside out in his remarkable and challenging book Microsoft Excel for Stock and Option Traders." - John A. Sarkett, SFO Magazine, October 2011
Author: United States. Congress. House. Committee on the Judiciary
Publisher:
Published: 1952
Total Pages: 636
ISBN-13:
DOWNLOAD EBOOKConsiders legislation to extend selected WWII legislative programs and emergency powers concerning military and Federal personnel, construction programs, patent controls, military and veterans housing programs, foreign trade regulations, war claims procedure, and emergency transportation controls.
Author: Hugh Murray (F.R.S.E.)
Publisher:
Published: 1855
Total Pages: 752
ISBN-13:
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Publisher:
Published: 1890
Total Pages: 1262
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Published: 1906
Total Pages: 814
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DOWNLOAD EBOOKAuthor: Anglo-International Bank (London, England)
Publisher:
Published: 1927
Total Pages: 508
ISBN-13:
DOWNLOAD EBOOKAuthor: National temperance league
Publisher:
Published: 1870
Total Pages: 648
ISBN-13:
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