search query: @author Clark, R. / total: 4
reference: 2 / 4
| Author: | Clark, R. Ziemba, W. T. |
| Title: | Playing the turn-of-the-year effect with index futures. |
| Journal: | Operations Research
1987 : NOV-DEC, VOL. 35:6, p. 799-813 |
| Index terms: | STOCK INDEX OPTIONS |
| Language: | eng |
| Abstract: | For decades, small capitalized stocks have out-performed in returns large capitalized stocks by relatively large amounts at the turn of the year, particularly on the last trading day in December and the first eight trading days in January. This effect is discussed, focusing on the reason why it occurs, its possible explanation by increasing in risk, and the preferable ways that an investor might exploit this anomaly. The last topic is pursued using a Value Line spread that has consistently yielded investor gains, provided that the investor enters the trade in mid-December before the small stock Value Line index is bid up by those anticipating the effect and exists when the effect ends in mid-January. |
SCIMA