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'Beyond the Random Walk, A Guide to Stock Market Anomalies', by Vijay Singal

Reviewed by Steve Wisdom


Singal's 'Beyond the Random Walk, A Guide to Stock Market Anomalies' [Oxford U Press, '2004'] was praised by Prof Pennington but panned by Chair ('a thoroughly specious disreputable piece of work'). With my betters at cross purposes, I took a read through it myself.

In general, it's a workmanlike, if sometimes naive, effort. The author summarizes and sometimes ekes the available literature on the 'marquee' anomalies, then 'tests' each anomaly by fashioning a trading strategy for each as of yearend 2001, and applies it to (usually) the first six months of 2002. Not clear to me how much this extra six months adds to the corpus.

The book is a good review of the literature, and to the author's credit he sometimes shows full trade-by-trade workouts for his 'test' period. Also he does a good job of omitting the fatuous and conjectural 'model' material so common to academic papers about the markets.

On the other hand, he has an irritating habit of quoting factoids ('stocks [with characteristic X] outperform by 3.78%) without reference. According to what study? What universe of stocks? What time period?

Also there's a certain amount of ad-hoc'ery. When discussing insider trading, he suggests omitting Bill Gates from the MSFT list because his trades are too big and thus distortive. But in fairness, stockmarket data don't always fit neatly in pigeonholes.

are unoriginal; indeed it was his purpose to re-tread the well-worn. Finally, he often doesn't understand what 'really' drives some of the strategies. For instance there's no mention of married-puts as a way to get the drop in merger-arb. You get the sense he hasn't spent much time on the front lines.

Quick look at the chapters



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