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Beyond the Random Walk: A Guide to Stock Market Anomalies and Low-Risk Investing (Financial Management Association Survey and Synthesis Series)

Beyond the Random Walk: A Guide to Stock Market Anomalies and Low-Risk Investing (Financial Management Association Survey and Synthesis Series)

by Oxford University Press, USA
4.6 out of 5 stars  See all reviews (20 customer reviews)

Price: $3.99
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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. --This text refers to an out of print or unavailable edition of this title.


"A great Christmas gift for investors."--SmartMoney

"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

--This text refers to an out of print or unavailable edition of this title.

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13 of 13 people found the following review helpful
5.0 out of 5 stars Great book on market mispricings October 23, 2003
By A Customer
I never thought I would see a book on the stock market that is believable, yet useful. Malkiel's book on Random Walk is accurate but according to that you can't do anything. Singal's book is aptly titled "Beyond the Random Walk". He seems to believe in market efficiency but says that there are times when the market or a few stocks are not correctly priced.
The book talks about these mispricings in a refreshingly simple language though it relies on amazing amount of research. Also has trading strategies that are useful.
I would recommend it.
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13 of 14 people found the following review helpful
5.0 out of 5 stars Detailed and Useful Trading Strategies.... February 27, 2004
Format:Hardcover|Verified Purchase
The financial markets give investors a chance to make money when they work - and when they don't. When markets work efficiently they uncover the true value of an asset by pegging its fair price for informed buyers and sellers. When for a variety of reasons markets are inefficient they misprice assets. When the specific circumstances of that mispricing are recognized and persistent (viz. predictable) it is an anomaly. The regularity of anomalies offers investors, at least in theory, the opportunity to profit by taking a position that recognizes the temporary nature of the mispricing before it rights itself. These anomalies are the subject of Singal's study which takes its title from the updated 1970's classic exposition of the efficient market hypothesis by Princeton Economics professor Burton Malkiel.
This is a detailed look at ten market anomalies. Singal's goal is to move us well beyond descriptions and academic evidence and offer trading strategies intended to achieve an outsized market return. Each chapter summarizes key points and projects potential returns from implementing the outlined strategy. Additional market anomalies are briefly identified in the final chapter. As a bonus of sorts an appendix gives the most detailed explanation of short selling I have read.
From a practical standpoint some anomalous situations would appear to be more exploitable than others. Mergers between public companies occur with some frequency, so an understanding of how to play the merger premium paid by acquiring companies for their target is useful. Changes to the composition of the S&P 500 Index and their impact on stock prices occur with less frequency, but this is balanced by opportunities from the January and "New December Effect" (mark your calendars).
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12 of 13 people found the following review helpful
5.0 out of 5 stars Something for investors November 11, 2003
By A Customer
I was looking for information on timing mutual funds and stumbled on the site of this book: [...] I was so intrigued by the book that I ordered it. Not a bad book at all. It explained everything I wanted to know about mispricing of mutual fund NAVs in a very simple language. Amazing that these people (Singal and others) have known about it for almost 10 years -- and investors like me did not know. This is just one chapter in the book. There are ten anomalies he discusses. Worth a lot more than the $30 I paid for it.
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8 of 8 people found the following review helpful
5.0 out of 5 stars A practical application of stock market mispricings December 28, 2003
After reading the January 2004 issue of Money magazine, this book was next on my reading list. The site [...] is quite informative.
Table of contents:
Chapter 1: Market Efficiency and Anomalies
Chapter 2: January Effect and the New December Effect
Chapter 3: The Weekend Effect
Chapter 4: Short-term Price Drift
Chapter 5: Momentum in Industry Portfolios
Chapter 6: Mispricing of Mutual Funds
Chapter 7: Trading by Insiders
Chapter 8: Changes to the S&P 500 Index
Chapter 9: Merger Arbitrage
Chapter10: International Investing And The Home Bias
Chapter11: Forward Rate Bias
Chapter12: Understanding And Learning From Behavioral Finance
Chapter13: A Description Of Other Possible Mispricings
Pros: All of the anomalies seem to be based on real research, not just hot air. The trading strategies are clear and easy to implement. Singal is cautious in making recommendations. The summary table at the beginning of the book lets you choose what you want to read and use. Seems very credible. Easy to read and understand. Many, many new things all investors wish they knew.
Cons: Confusing title. More more description about each anomaly would have helped but may be the author did not want to make it into an encylopedia. The list of references helps for further exploration. Each anomaly has a discussion of about 25 pages, which is okay as a start.
Value: Excellent. Strongly recommended.
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5 of 5 people found the following review helpful
5.0 out of 5 stars Well-written, convincing....if you are a trader... July 28, 2004
This is definetly one of the better written books on the subject. Singal presents several "market anomalies" and discusses strategies as to how to benefit from them. However, most of them have holding periods of a couple of days to a few weeks at the most. A long-term investor may not find the strategies mentioned here very useful. Of particular appeal to mid-to-long term investors may be the discussion on SP500 additions and deletions, and mutual fund pricing. It may offer some tips on when to committ additional funds to mutual funds. However, the increased pressure on market timers and related activities, increasing redemption fees, trading costs, tax implications and the sheer amount of time required to monitor the strategies, the techniques of the author provide for good academic discussion and not as much as practical "tips". Nevertheless, the market situations, suggested techniques, evidence and possible explanations, citations are well presented and logically organized. A must-read for traders and investors alike, though for different reasons.
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Most Recent Customer Reviews
5.0 out of 5 stars Insightful, based on actual research, and accessible.
A wonderfully written book from a Professor of Finance. It is chock full of insights and written in a very lucid and accessible manner. Read more
Published 23 months ago by Apollo Digital
3.0 out of 5 stars Of little use in day-to-day investing
Like he says, he points out isolated occasional anomalies. This is of little use in day-to-day investing.
Published 23 months ago by Harvey
5.0 out of 5 stars Must read to understand the nuances of investing
This book is a great tool to understand some of the subtler points of investing. There are many inefficiencies out there and while some cannot directly be taken advantage of, it... Read more
Published on December 7, 2012 by Brando
5.0 out of 5 stars Practical applications of academic research
A fascinating and balanced read on well-researched market anomalies. Singal identifies 11 past anomalies and estimates practical abnormal returns going forward. Read more
Published on November 25, 2012 by Allan S. Roth
4.0 out of 5 stars Very interesting, but not practical.
This is an academic book written by a Professor who admits that he is not a full time trader. This book contains solid research on the subject of non random (predictable)... Read more
Published on September 8, 2012 by Pat
5.0 out of 5 stars great introduction to trading strategies
I don't think anybody is going to get rich implementing the ideas in this book. I do think people can do very well with ideas that this book will give you. Read more
Published on April 15, 2009 by Scott C. Locklin
5.0 out of 5 stars Buy Hold Outperform
Buy ' This book has unique advantages over its peers. It states things believed to be true. The anomalies that is describes are supported with careful research. Read more
Published on April 15, 2009 by Jeff Owens
4.0 out of 5 stars Interesting book well written, temptation ot invest again
This is an "easy to read" well written book. It does not immediately bore the reader to death like many other investment and economics books. Read more
Published on February 15, 2009 by J. Meyer
5.0 out of 5 stars academic AND accessible
I'm impressed with what a good job Vijay Singal has done. Beyond the Random Walk is very clear and thorough, turning what is normally overly academic research/text into easy to... Read more
Published on January 10, 2006 by Much Prefer Print to eBooks
5.0 out of 5 stars An excellent invesment
Vijay has written a very lucid account of different pricing anomalies and how to take advantage of them. Read more
Published on June 10, 2005 by MikeInPDX
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