Contents -- Preface -- List of Co-authors -- Acknowledgements -- 1. Introduction - Calendar Anomalies C. S. Dzhabarov and W. T. Ziemba -- 1.1 Introduction to Seasonal Anomaly Effects -- 1.2 January Effect -- 1.2.1 Trading the January small cap effect in the futures markets -- 1.3 The January Barometer -- 1.3.1 How to trade the January Barometer (JanB) -- 1.3.2 The international January Barometer -- 1.4 Sell-in-May-and-go-away -- 1.4.1 Same month next year -- 1.5 Holiday Effects -- 1.5.1 The sell on Rosh Hashanah and buy on Yom Kippur anomaly -- 1.5.2 Ramadan -- 1.6 Day of the Week Effects -- 1.7 Option Expiry Effects in the Russell 2000 and S&P500 Futures Markets -- 1.8 Seasonality Calendars -- 1.9 Political Effects3 -- 1.9.1 When Congress is in session -- 1.9.2 Election cycles -- US bond returns after presidential elections -- Some simple presidential investment strategies -- Remarks -- 1.9.3 Election cycles: Other literature -- 1.10 Turn-of-the-month Effects -- 1.11 Open/Close Daily Trade on the Open -- 1.12 Industry Concentration -- 1.12.1 Weather: Sun, rain, snow, moon and the stars and clouds -- 1.13 Conclusions and Final Remarks -- References -- 2. Playing the Turn-of-the-Year Effect With Index Futures R. Clark and W. T. Ziemba -- 1. The Evidence -- 2. Analysis of the Evidence -- Probable Causes -- Excess Returns -- Excess Profits -- 3. Strategies -- 5. The 1986/87 Play -- 6. Conclusions -- Acknowledgment -- References -- 3. Arbitrage Strategies for Cross-Track Betting on Major Horse Races D. B. Hausch and W. T. Ziemba -- I. Introduction -- II. Efficiency of the Various Betting Markets -- III. Inefficiency of the Win Market and the Risk-free Hedging Model -- IV. The Optimal Capital Growth Model -- V. Testing the One-Track Capital Growth Model -- VI. Final Discussion -- References -- 4. Locks at the Racetrack D. B. Hausch and W. T. Ziemba.

Our lock concentrates on the show market -- The show payoff on Arbor Hoggart is thought to be the highest show payoff of any sort -- 5. Arbitrage and Risk Arbitrage in Team Jai Alai D. Lane and W. T. Ziemba -- Acknowledgments -- 1. INTRODUCTION -- 2. THE ARBITRAGE -- 3. RISK ARBITRAGES -- 4. FINAL REMARKS -- References -- 6. Miscellaneous Inserts -- a. The Buying and Selling Behavior of Individual Investors at the Turn of the Year: Discussion -- REFERENCES -- b. Russell Report - The January Barometer: European, North American, Paci.c and Worldwide Results -- 1 Introduction -- 2 The US Evidence -- 3 Worldwide Evidence -- 4 Final Remarks -- 5 References -- 6 Appendix -- c. Occupational Nostalgia -- d. U.S. Bears Bets May Roil Japan's Turmoil/ Bearish Betters in U.S. May Be Partly Behind Upheavals in Tokyo -- e. Nikkei Put Options Good Buy for Foreign Funds Managers -- f. Buying Stock? Consider Turn-of-the-Month Effect -- g. Making Dollar-Cost Averaging Even More Profitable -- h. Turn, Turn, Turn: To Every Stock Price There Is a Reason for theMonth-to-Month Price Jump -- i. Russell Report - Investment Results From Exploiting Turn-ofthe- Month Effects -- 1 Introduction -- 2 The Return Patterns in the S&P 500 -- 3 Investment Strategies -- 4 Concluding Remarks -- 5 References -- 6 Endnotes -- j. Summary of "Playing the Turn of the Year Effect With Index Futures" -- k. "Political" Investment Turn Out to Be Lucrative/Mixing Politics With Investment Decisions Proves to Be Lucrative -- 7. Risk Arbitrage in the Nikkei Put Warrant Market of 1989-1990 J. Shaw, E. O. Thorp and W. T. Ziemba -- 1. Introduction -- 2. The Nikkei stock average 1949-1995 and its historical volatility -- 3. NSA put warrants on the Toronto and American Stock Exchanges 1989-1990 -- 4. Fair valuation of NSA put and call warrants -- 4.1. Type I put warrants -- 4.2. Type II put warrants.

4.3. Type III put warrants -- 5. Numerical comparison of warrant types I, II and III -- 6. Constructing the put warrant hedges and the convergence to efficiency -- 7. The relationship between NSA put warrant prices in North America and the cash market in Tokyo -- 8. Implications of the findings and concluding remarks -- Acknowledgements -- References -- 8. Design of Anomalies Funds: Concepts and Experience D. R. Capozza and W. T. Ziemba -- INTRODUCTION -- WHAT IS AN ANOMALIES FUND? -- EXPLOITABLE ANOMALIES -- Seasonality-January -- Seasonality-Monthly, Weekly, and Holiday Seasonals -- Insider Trading -- Closed end Funds -- Unexpected Earnings -- EXPERIENCE -- PROBLEMS OF IMPLEMENTATION -- CONCLUSION -- ACKNOWLEDGMENTS -- REFERENCES -- 9. Land and Stock Prices in Japan D. Stone and W. T. Ziemba -- Rational Explanations for Japan's Land Prices -- The Relationship between Land and Stock Prices -- What About Speculative Land Prices? -- Has Japan Experienced a Speculative Bubble in Land and Stock Prices? -- Evidence on Fundamental Value -- Speculative Bubble Evidence -- Final Remarks -- References -- 10. The Chicken or the Egg: Land and Stock Prices in Japan W. T. Ziemba -- JAPANESE HOUSEHOLDS -- LAND AND THE NSA CORRELATIONS -- REFERENCES -- 11. Japanese Security Market Regularities: Monthly, Turn-of-the- Month and Year, Holiday and Golden Week Effects W. T. Ziemba -- 1. Introduction -- 2. The January and monthly effects -- 3. The monthly effect on the NSA and TOPIX market indices, 1949-88 -- 4. Turn-of-the-month effect -- 5. Holiday effects -- 6. The golden week -- 7. Tum-of-the-year effect -- 8. Conclusion -- References -- 12. Seasonality Effects in Japanese Futures Markets W. T. Ziemba -- 1. l. INTRODUCTION -- 2. DAYS OF THE WEEK EFFECT -- 3. HOLIDAY EFFECTS -- 4. TURN OF THE MONTH AND FIRST HALF OF THE MONTH EFFECTS -- 5. FIRST HALF OF THE MONTH.

6. THE MONTHLY EFFECT -- 7. TURN OF THE YEAR - JANUARY EFFECT -- REFERENCES -- 13. Day of the Week Effects in Japanese Stocks K. Kato, S. L. Schwartz and W. T. Ziemba -- 1. Negative Tuesdays with Saturday trading -- 2. Negative Mondays after Saturdays closed -- 3. Positive Wednesdays -- 4. All Gains Overnight -- Notes -- References -- 14. Comment on "Why a Weekend Effect?" W. T. Ziemba -- Day-of-the-Week Effects -- Testing Miller's Hypothesis -- One-Versus Two-Day Weekends -- Weekly Pattern of Returns Greatly A.ected by Saturday Trading -- References -- 15. The Turn-of-the-Month Effect in the World's Stock Markets, January 1988 - January 1990 T. Martikainen, J. Perttunen and W. T. Ziemba -- 1. Introduction -- 2. The Data -- 3. Empirical Results -- 4. Conclusions and Further Research -- Footnotes -- References -- 16. The Turn-of-the-Month Effect in the U.S. Stock Index Futures Markets, 1982-1992 C. Hensel, and G. A. Sick and W. T. Ziemba -- 1. Introduction -- 2. The monthly return patterns in the cash and futures markets -- 3. Concluding Remarks -- References -- 17. Worldwide Security Market Anomalies W. T. Ziemba and C. R. Hensel -- 1. Introduction -- 2. The turn-of-the-month effect in US equity markets -- 3. The turn-of-the-month effect in worldwide equity markets -- 4. Concluding remarks -- References -- 18. Worldwide Security Market Regularities W. T. Ziemba -- Introduction -- Efficient market theory and the capital asset pricing model -- Multiple factor models -- The small firm and January effects -- Low price to earnings, sales, book value and cash flow effects -- Seasonality effects -- Holiday effects -- The turn of the month effect -- The January barometer -- Time of day effects -- Can professional fund managers beat the market averages? -- The Value Line enigma -- Final remarks -- Acknowledgements -- References.

19. Cointegration Analysis of the Fed Model M. Koivu, T. Pennanen and W. T. Ziemba -- 1. Introduction -- 2. Data -- 3. Tests for cointegration -- 4. Statistical analysis of the Fed model -- 5. Forecast tests with the Fed model -- 6. Conclusion -- References -- 20. The Predictive Ability of the Bond-Stock Earnings Yield Differential Model K. Berge, G. Consigli and W. T. Ziemba -- VALUATION MODEL, EQUITY YIELD, AND lO-YEAR INTEREST RATE -- OVERVALUATION AND FORTHCOMING CORRECTIONS -- High Yield Difference with Corrections -- High Yield Difference without Corrections -- Low Yield Difference with Corrections -- U.S. AND WORLDWIDE RESULTS -- ENDOGENOUS INSTABILITY, RISK PREMIUMS, AND THE NOMINAL- VERSUS REAL-VARIABLE ISSUE -- CONCLUSION -- APPENDIX -- ENDNOTE -- REFERENCES -- 21. Efficiency of Racing, Sports, and Lottery Betting Markets W. T. Ziemba -- Acknowledgments -- 1. INTRODUCTION -- 2. EXTENT OF GAMBLING IN THE U.S. -- 3. RACETRACK BETTING MARKETS -- 3.1. Introduction to Racetrack Betting -- 3.2. Win Market -- 3.3. Place and Show Markets -- 3.4. Place and Show Probabilities -- 3.5. Optimal Capital Growth -- 3.6. Implementing the System and Empirical Results -- 3.7. Does the System Still Provide Profits? -- 3.8. Exotic Markets -- 3.9. Cross-Track Betting -- 4. THE FOOTBALL BETTING MARKET -- 5. THE BASKETBALL BETTING MARKET -- 6. LOTTERIES -- 6.1. Introduction to Lotteries -- 6.2. Inefficiencies with Unpopular Numbers -- References -- 22. The Favorite-Longshot Bias in S&P500 and FTSE 100 Index Futures Options: The Return to Bets and the Cost of Insurance R. G. Tompkins, W. T. Ziemba and S. D. Hodges -- 1. INTRODUCTION -- 2. METHODOLOGY -- 3. RESULTS -- 3.1. Results for Quarterly Options on Stock Index Futures -- 3.2. Results for Monthly Options on Stock Index Futures -- 4. CONCLUSIONS -- References.

23. The Dosage Breeding Theory for Horse Racing Predictions M. Gramm and W. T. Ziemba.