The Handbook of Equity Market Anomalies discusses quantitative active management strategies. Using market neutral portfolios, these strategies have generated average annual returns of +10% to +15%.
Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this exciting new book is the first to organize and summarize the research on anomalies carried out by hundreds of finance and accounting professors over the last 20 years.
About Leonard Zacks
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.
The book identifies the most important equity market inefficiencies and provides the self-directed individual investor a framework for incorporating the results of this research into their own portfolios.
Len Zacks, founder of Zacks Investment Research, pioneered the concept of the earnings surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools.
Now, with his new book, he shows you what it takes to build a quant process based on academically documented market inefficiencies and anomalies to outperform an index.
A Step Toward Better Understanding the Extent of Market Efficiency
The Handbook of Equity Market Anomalies describes unexpected price behavior in equity markets that can potentially be exploited by investors to earn abnormal returns.
Some of the anomalies addressed include:
- Accrual anomaly
- Net stock anomalies
- Fundamental anomalies
- Estimate revisions
- Changes in and levels of broker recommendations
- Earnings surprises
- Insider trading
- Price momentum and technical analysis
- Value and size anomalies
- Several seasonal anomalies
- And more.
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Praise for The Handbook of Equity Market Anomalies
"If you are seeking Alpha, there is no better single source than The Handbook of Equity Market Anomalies."
—BLAIR HULL, founder, Hull Trading Company
"The book is a timely, thorough, and thoughtful survey of the vast finance and accounting academic literature on market anomalies—a must-read for academics, PhD students, and practitioners."
—STANIMIR MARKOV, Associate Professor of Accounting, The University of Texas at Dallas
"… This is a must-read for any institutional or individual investor seeking to consistently outperform the market."
—S.P. Kothari, Deputy Dean and Gordon Y. Billard Professor of Management, MIT Sloan School of Management
"Anomalies are characteristics of equities that might be used to get excess risk-adjusted returns. This volume explains anomalies that did work and some that savvy investors are using now."
—EDWARD O. THORP, founder, Edward O. Thorp & Associates