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Author : Carmelo Giaccotto
Publisher :
ISBN 13 :
Total Pages : 788 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Random Hypothesis of Stock Market Prices Reconsidered written by Carmelo Giaccotto and published by . This book was released on 1978 with total page 788 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Carmelo Giaccotto
Publisher :
ISBN 13 :
Total Pages : 394 pages
Book Rating : 4.:/5 (254 download)
Download or read book The Random Walk Hypothesis of Stock Market Prices Reconsidered written by Carmelo Giaccotto and published by . This book was released on 1978 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paul H. Cootner
Publisher : MIT Press (MA)
ISBN 13 :
Total Pages : 546 pages
Book Rating : 4.:/5 (321 download)
Download or read book The Random Character of Stock Market Prices written by Paul H. Cootner and published by MIT Press (MA). This book was released on 1967 with total page 546 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew W. Lo
Publisher : Princeton University Press
ISBN 13 : 1400829097
Total Pages : 449 pages
Book Rating : 4.4/5 (8 download)
Download or read book A Non-Random Walk Down Wall Street written by Andrew W. Lo and published by Princeton University Press. This book was released on 2011-11-14 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. Here Andrew W. Lo and A. Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. Their book provides a state-of-the-art account of the techniques for detecting predictabilities and evaluating their statistical and economic significance, and offers a tantalizing glimpse into the financial technologies of the future. The articles track the exciting course of Lo and MacKinlay's research on the predictability of stock prices from their early work on rejecting random walks in short-horizon returns to their analysis of long-term memory in stock market prices. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.
Author : Rodney Thomas Cox
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (934 download)
Download or read book A Counter Example to the Random Walk Hypothesis of Stock Market Prices written by Rodney Thomas Cox and published by . This book was released on 1969 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wing-Keung Wong
Publisher : Mdpi AG
ISBN 13 : 9783036530802
Total Pages : 232 pages
Book Rating : 4.5/5 (38 download)
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Author : Arusha Cooray
Publisher :
ISBN 13 : 9781862951303
Total Pages : 18 pages
Book Rating : 4.9/5 (513 download)
Download or read book The Random Walk Behaviour of Stock Prices written by Arusha Cooray and published by . This book was released on 2003 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : André Bastiaan Dorsman
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.:/5 (633 download)
Download or read book On the Behaviour of Dutch Stock Market Prices and the Random Walk Hypothesis written by André Bastiaan Dorsman and published by . This book was released on 1981 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : A. Craig MacKinlay
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (874 download)
Download or read book Stock Market Prices Do Not Follow Random Walks written by A. Craig MacKinlay and published by . This book was released on 1989 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962-1985) and for all sub-periods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are largely due to the behavior of small stocks, they cannot be ascribed to either the effects of infrequent trading or time-varying volatilities. Moreover, the rejection of the random walk cannot be interpreted as supporting a mean-reverting stationary model of asset prices, but is more consistent with a specific nonstationary alternative hypothesis.
Author : Andrew Wen-Chuan Lo
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (154 download)
Download or read book Stock Market Prices Do Not Follow Random Walks written by Andrew Wen-Chuan Lo and published by . This book was released on 1987 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kausik Chaudhuri
Publisher :
ISBN 13 : 9781864873412
Total Pages : 15 pages
Book Rating : 4.8/5 (734 download)
Download or read book Random Walk Versus Breaking Trend in Stock Prices written by Kausik Chaudhuri and published by . This book was released on 2000 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : D. J. Jüttner
Publisher :
ISBN 13 : 9780858371293
Total Pages : 34 pages
Book Rating : 4.3/5 (712 download)
Download or read book The Random Walk Hypothesis and Stock Market Efficiency written by D. J. Jüttner and published by . This book was released on 1974 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Clive William John Granger
Publisher :
ISBN 13 :
Total Pages : 346 pages
Book Rating : 4.F/5 ( download)
Download or read book Predictability of Stock Market Prices written by Clive William John Granger and published by . This book was released on 1970 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gregory Steven Stroup
Publisher :
ISBN 13 :
Total Pages : 142 pages
Book Rating : 4.:/5 (938 download)
Download or read book A Reconciliation of Economic Stock Price Theories with the Random Walk Hypothesis written by Gregory Steven Stroup and published by . This book was released on 1984 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William Arnold Barnett
Publisher :
ISBN 13 :
Total Pages : 138 pages
Book Rating : 4.:/5 (334 download)
Download or read book A Test of the Null Hypothesis that Stock Prices Fluctuate as a Random Walk written by William Arnold Barnett and published by . This book was released on 1963 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew W. Lo
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (129 download)
Download or read book Stock Market Prices Do Not Follow Random Walks written by Andrew W. Lo and published by . This book was released on 2008 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962-1985) and for all sub-periods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are largely due to the behavior of small stocks, they cannot be ascribed to either the effects of infrequent trading or time-varying volatilities. Moreover, the rejection of the random walk cannot be interpreted as supporting a mean-reverting stationary model of asset prices, but is more consistent with a specific nonstationary alternative hypothesis.
Author : Nuray Ergül Kondak
Publisher :
ISBN 13 : 9789757539803
Total Pages : 204 pages
Book Rating : 4.5/5 (398 download)
Download or read book The Efficient Market Hypothesis Revisited written by Nuray Ergül Kondak and published by . This book was released on 1997-01-01 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
