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The Turn-of-the-Year 1982/1983

In: The Adventures of a Modern Renaissance Academic in Investing and Gambling

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  • William T Ziemba

Abstract

The S&P500 started trading futures on the index in 1982. That way you could take levered positions long and short on the large cap sector of the US stock market. That can be profitable but it is risky and if the market falls suddenly and you are long, then you can lose a lot of money. Many have done precisely this and I discuss some of that in Chapter 21. I was studying US calendar anomalies and from a teaching visit to UCLA in 1981/1982, I learned about the small cap effect and the January effect and their relationship…

Suggested Citation

  • William T Ziemba, 2017. "The Turn-of-the-Year 1982/1983," World Scientific Book Chapters, in: The Adventures of a Modern Renaissance Academic in Investing and Gambling, chapter 9, pages 95-99, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813148529_0009
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    Keywords

    Financial History; Risk Management; Investment Strategies; Mean Reversion; Risk Arbitrage; Management of Assets;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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