Handbook of Equity Market Anomalies - Translating Market Inefficiencies Into Effective Investment Strategies

Informationen zum Autor 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. Klappentext 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 software and data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process?based on academically documented market inefficiencies and anomalies?that will allow you to enhance your trading and investing activities. Engaging and informative, 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 the self-directed individual investor with a framework for incorporating the results of this research into their own endeavors. Comprised of contributed chapters by leading professors who have performed groundbreaking research on specific anomalies, and edited by Len Zacks, this book skillfully reveals some of the most important anomalies savvy investors have used for decades to beat the market. Some of the anomalies examined 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 long investor portfolios. And by visiting the website associated with this book (hema.zacks.com), you'll find a page dedicated to each chapter as well as a live discussion group where the authors will periodically respond to posts from readers. The book's Bibliography is also housed on this site, so you can instantly explore more than 600 of the academic articles referred to throughout these pages. A treasure trove of investment research and wisdom, this book will save you countless hours of searching for strategies that can improve the performance of your portfolio by distilling the essence of twenty years of academic research into eleven clear chapters?and providing a solid understanding of the use and value of specific anomalies in quant equity investing. Zusammenfassung Presents academic research on how to beat the market using equity anomalies. This book addresses such anomalies as: the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, and several seasonal anomalies. Inhaltsverzeichnis Preface xi Acknowledgments xvii CHAPTER 1 Conceptual Foundations of Capital Market Anomalies 1 Mozaffar Khan Efficient Markets 2 Identifying Anomalies in Capital Markets 3 Explaining Anomalies 5 Anomalies: Weighing the Evidence 10 Appendix 1.1: Risk and Expected-Return Models 10 References 17 CHAPTER 2 The Accrual Anomaly 23 Patricia M. Dechow, Natalya V. Khimich, and Richard G. Sloan What Are Accruals? 24 Sloan (1996) in a Nutshell 32 Extensions of Sloan (1996) 38 Alternative Explanations for...

List of contents

Preface xi
 
Acknowledgments xvii
 
CHAPTER 1 Conceptual Foundations of Capital Market Anomalies 1
Mozaffar Khan
 
Efficient Markets 2
 
Identifying Anomalies in Capital Markets 3
 
Explaining Anomalies 5
 

Anomalies: Weighing the Evidence 10
 
Appendix 1.1: Risk and Expected-Return Models 10
 
References 17
 
CHAPTER 2 The Accrual Anomaly 23
Patricia M. Dechow, Natalya V. Khimich, and Richard G. Sloan
 
What Are Accruals? 24
 
Sloan (1996) in a Nutshell 32
 
Extensions of Sloan (1996) 38
 
Alternative Explanations for the Accrual Anomaly 45
 
Practical Implications 51
 
Appendix 2.1: Estimation and Testing Framework Used in Sloan (1996) 52
 
Appendix 2.2: Details on the Broader Definition of Accruals 54
 
References 59
 
CHAPTER 3 The Analyst Recommendation and Earnings Forecast Anomaly 63
George Serafeim
 
Role of Research Analysts 63
 
Investment Recommendations 64
 
Earnings Forecast Revisions 73
 
Determinants of Forecast Revisions 76
 

International Evidence 78
 
Overview of the Investment Performance of Forecast Revisions 79
 
Appendix 3.1: Details of Returns to Recommendation Strategies 79
 
References 87
 
CHAPTER 4 Post-Earnings Announcement Drift and Related Anomalies 91
Daniel Taylor
 
The Basics of the Anomaly 92
 
Measuring Earnings Surprises 99
 
Sources of Post-Earnings Announcement Drift 102
 
Extensions 106
 
Institutional Investors 108
 
Individual Investors 110
 
References 112
 
CHAPTER 5 Fundamental Data Anomalies 117
Ian Gow
 
Fundamental Metrics 118
 
Distress Risk 122
 
Capital Investment and Growth Anomalies 123
 
International Evidence 125
 
Conclusion 126
 
References 126
 
CHAPTER 6 Net Stock Anomalies 129
Daniel Cohen, Thomas Lys, and Tzachi Zach
 
Initial Public Offerings 130
 
Seasoned Equity Offerings 132
 
Debt Issuances 133
 
Share Repurchases and Tender Offers 134
 
Dividend Initiation and Omissions 136
 
Private Equity Placement 138
 
Overall Net External Financing 138
 
Mergers and Acquisitions 141
 
International Evidence 142
 
Other Explanations for the Abnormal Returns 143
 
References 144
 
CHAPTER 7 The Insider Trading Anomaly 147
Ian Dogan
 
Overview of Insider Filings 148
 
Documentation of the Anomaly 148
 
Results for the 1978-2005 Period 150
 
How Consistent Is the Anomaly Year by Year? 152
 
When Are Returns Generated during the 1-Year Holding Periods? 154
 
Returns in Small Cap versus Large Cap 155
 
Does It Work on the Short Side? 156
 
Do Returns Vary by Industry? 160
 
Institutional Investors 162
 
Individual Investors 162
 
Relation to Other Anomalies 163
 
International Evidence 164
 
Can Insider Data Predict S&P 500 Returns? 165
 
Latest Developments 166
 
Long/Short Strategy for Institutional Investors 167
 
References 170
 
CHAPTER 8 Momentum: The Technical Analysis Anomaly 173
Lee M. Dunham
 
History of Technical Analysis and Momentum 176
 
Assessing Momentum and Reversal
 
in Stock Prices 178
 
Early Influential Work on Momentum
 
and Reversals 179
 
Improving Upon Momentum Strategies 184
 
Moving Averages 186
 
52-Week High/Low 187
 
Momentum at Industry Levels 188
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Product details

• Authors: Zacks, L Zacks, Len Zacks, Leonard Zacks, Leonard (EDT) Zacks, Zacks Leonard
• Assisted by: Len Zacks (Editor), Leonard Zacks (Editor), Zacks Leonard (Editor)
• Publisher: Wiley, John and Sons Ltd
• Languages: English
• Product format: Hardback
• Released: 01.10.2011
• EAN: 9780470905906
• ISBN: 978-0-470-90590-6
• No. of pages: 352
• Series: Wiley Finance; Wiley Finance Editions; The Wiley Finance Series; The Zacks Series; Wiley Finance; Wiley Finance Editions; The Wiley Finance Series; The Zacks Series
• Subjects: Social sciences, law, business > Business > Business administration; Finanzwesen, Finance & Investments, Finanz- u. Anlagewesen, Spezialthemen Finanz- u. Anlagewesen, Finance & Investments Special Topics