Beyond the Random Walk
A Guide to Stock Market Anomalies and Low-Risk Investing
Published on 1. June 2006
Book
Paperback/Softback
384 pages
978-0-19-530422-0 (ISBN)
Description
In an efficient market, all stocks should be valued at a price that is consistent with available information. But as financial expert Vijay Singal, Ph.D., CFA, points out, there are circumstances under which certain stocks sell at a price higher or lower than the right price. In Beyond the Random Walk, Singal discusses ten such anomalous prices and shows how investors might--or might not--be able to exploit these situations for profit.
The author distills several decades of academic research into a focused discussion of market anomalies that is both accessible and useful to people with varied backgrounds. Past empirical evidence is supplemented with author's own research using more recent data. Anomalies covered include the "December Effect," "Momentum in Industry Stocks," "S&P 500 Index Changes," "Trading by Insiders," and "Merger Arbitrage." In each chapter, the author describes the particular anomaly, explains how it occurs, shows ways to take advantage of the anomaly, and highlights the risks involved. We learn, for example, that shares of stocks that have appreciated in recent months become scarce in late December, because investors wait until January before they sell (to postpone payment of taxes on profits). This scarcity drives the price up--the "December Effect"--and smart buyers can make the equivalent of 75% annual return on a five-day investment. Each chapter includes suggestions for further reading as well as tables and graphs that support the discussion. The book concludes with a preview of many other interesting anomalies and a section on how investor behavior might influence prices.
Clearly written and informative, this well-researched volume is a must read for investors, traders, market specialists, and students of financial markets.
The author distills several decades of academic research into a focused discussion of market anomalies that is both accessible and useful to people with varied backgrounds. Past empirical evidence is supplemented with author's own research using more recent data. Anomalies covered include the "December Effect," "Momentum in Industry Stocks," "S&P 500 Index Changes," "Trading by Insiders," and "Merger Arbitrage." In each chapter, the author describes the particular anomaly, explains how it occurs, shows ways to take advantage of the anomaly, and highlights the risks involved. We learn, for example, that shares of stocks that have appreciated in recent months become scarce in late December, because investors wait until January before they sell (to postpone payment of taxes on profits). This scarcity drives the price up--the "December Effect"--and smart buyers can make the equivalent of 75% annual return on a five-day investment. Each chapter includes suggestions for further reading as well as tables and graphs that support the discussion. The book concludes with a preview of many other interesting anomalies and a section on how investor behavior might influence prices.
Clearly written and informative, this well-researched volume is a must read for investors, traders, market specialists, and students of financial markets.
Reviews / Votes
"Beyond the Random Walk is the definitive work on how stocks can be persistently mis-priced, lucidly and comprehensively cataloging market inefficiencies. It offers investors sensible strategies to exploit valuable investment opportunities and is a critical reference for researchers." --Lawrence A. Cunningham, Boston College, author of The Essays of Warren Buffett: Lessons for Corporate America "Vijay Singal's interesting book provides an overall treatment of the return anomalies that have gripped the attention of academics and investors alike. It is a good source for those who want to understand stock market anomalies, and a useful guide for those who want to trade on them. As always, those seeking to beat the market would do well to remind themselves about the perils of overconfidence, and the attendant risks that trading on sentiment entails."--Hersh Shefrin, Santa Clara University, author of Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing "We can thank Vijay Singal for categorizing the major stock market inefficiencies, and for telling us how to make money from them."--Roger G. Ibbotson, Yale School of Management, and Chairman, Ibbotson Associates "Singal provides an easy-to-read introduction to the pricing anomalies discovered by academics and exploited by traders. Understanding these anomalies will help you identify the systematic mistakes traders make and how you might profit from them."--Larry Harris, Fred V. Keenan Chair in Finance, Marshall School of Business at USC, author of Trading & Exchanges: Market Microstructure for Practitioners "Understanding how the markets work and how to exploit them for profit is what makes Wall Street tick. Successful investing is based on extracting small low risk profits; this is what separates good managers from great ones. By explaining how to look for, spot and take advantage of anomalies Singal is about to create a whole new class of great managers. It is clear that his research, experience, and expertise are something all investors should take advantage of as they try to navigate the randomness and not so randomness that is the market." --Daniel A. Strachman, author of Essential Stock Picking Strategies and Editor of The Strachman Report "This is a comprehensive look at financial market anomalies in language that is accessible to all. While no book on the market offers foolproof ways of making money, this book will certainly be an instructive read and bring the lay person up to speed on the latest research." --Raghuram Rajan, Joseph Gidwitz Professor of Finance, University of Chicago "This is a very nice summary of the academic literature on anomalies, and contains some intriguing suggestions for taking advantage of them." --Andrew W. Lo, MIT "A great Christmas gift for investors."--SmartMoneyMore details
Series
Language
English
Place of publication
New York
United States
Target group
College/higher education
Professional and scholarly
Illustrations
numerous figures & tables
Dimensions
Height: 229 mm
Width: 152 mm
Thickness: 22 mm
Weight
616 gr
ISBN-13
978-0-19-530422-0 (9780195304220)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
E-Book
12/2003
1st Edition
OUP eBook
€19.99
Available for download
Person
Vijay Singal is J. Gray Ferguson Professor of Finance and Chairperson of the Finance Department at the Pamplin College of Business of Virginia Tech. Dr. Singal is an author of many academic and practitioner articles.