Ape or Art: investment strategies

Abstract

Ronald Doeswijk obtained his Master’s Degree in Economics from the Erasmus University in Rotterdam in 1995. After graduating, he started his working career as an investment strategist with the Institute for Research and Investment Services (IRIS), a joint venture of Rabobank and Robeco Group. In his day-to-day business as a strategist, he is involved in recommendations relating to the asset mix, allocation over regions and sectors, and advice on the preferred investment styles. His research interests include investment strategies. He has published several articles on this theme in the academic literature. ISBN 978-90-9021791-8This book concentrates on the question whether the stock market is efficient or leaves room for exploitable investment strategies. We analyze five possible anomalies in discussing the seasonal ‘Sell-in-May’ effect on the stock market and four cross-sectional patterns which involve IPOs, mergers and acquisitions, insider trading and index revisions. Our results suggest that the stock market is not fully efficient