“For several decades William T. Ziemba has focused on documenting, explaining, and trading on, calendar-based and other anomalies. This collection contains not only the original papers, but updates that examine whether the patterns persist.” — Jay R Ritter, Professor of Finance, University of Florida
“A question I am frequently asked is whether stock market regularities persist into the future. My answer is always the same. If you think an anomaly looks interesting, don’t invest a penny until you have read what William T Ziemba has to say about it. He is the master of research on anomaly strategies.” — Elroy Dimson, Professor Emeritus, London Business School
“Research on return anomalies touches upon central topics in financial economics: Are markets informationally efficient? Are smart arbitrageurs able to correct mispricing swiftly, or at all? Are patterns of predictability in securities markets the consequences of risk premia, psychological bias, or mere ex post data-mining? To address these questions it is valuable to have an extensive inventory of careful studies of different kinds of markets, assets, countries, frequencies, institutional settings, and time periods. As such, this volume is a valuable source of ideas and stylized facts for the building of new theoretical insight.” — David Hirshleifer, Professor of Finance, UC Irvine
“Can you beat the market by using historical patterns in financial data? Here is the latest and most comprehensive treatment of these anomalies by a leading theorist and practitioner what paid, what is working, and what might be profitable in the future.”– Edward O Thorp, Edward O Thorp & Associates, Author of Beat the Dealer and Beat the Market
“This lively retrospective takes readers on an informative anomalies tour, featuring both breadth and depth, across Japan, Europe, and the US in markets for equities, fixed income securities, land, and horse race betting.” —Hersh Shefrin, Professor of Finance, Santa Clara University
About the Author
William T Ziemba is the Alumni Professor (Emeritus) of Financial Modeling and Stochastic Optimization in the Sauder School of Business, University of British Columbia, Canada where he taught from 1968 to 2004. He obtained his PhD from the University of California, Berkeley in 1969. He now teaches as a Visiting Professor at world-reknowned institutions including Cambridge, Oxford, London School of Economics, Reading ICMA Centre, and Warwick in the UK; Stanford, UCLA, Berkeley, Chicago and MIT in the US; Bergamo and Venice in Italy; Toulouse and EDHEC in France; Tsukuba in Japan; the National University of Singapore and the National Technological University in Singapore. Leading financial institutions, which he has been consultant to, include the Frank Russell Company, Morgan Stanley, Buchanan Partners, Gordon Capital, Matcap Capital, and Private International Wealth Management. His research is in asset-liability management, portfolio theory and practice, security market imperfections, Japanese and Asian financial markets, sports and lottery investments, and applied stochastic programming.
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