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Do Stock Markets Follow A Random Walk New Evidence For An Old Question
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Book Synopsis Do Stock Markets Follow a Random Walk? New Evidence for an Old Question by : Dilek Durusu-Ciftci
Download or read book Do Stock Markets Follow a Random Walk? New Evidence for an Old Question written by Dilek Durusu-Ciftci and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper re-examines whether the stock markets are efficient or not by focusing the role of cross-sectional dependency and structural breaks with newly developed panel unit root tests proposed by Lee et al. (2016) and Nazlioglu and Karul (2017). To do this, we used 33 countries stock price indexes for the period 1992M05 - 2018M05. Our results indicate that (i) accounting for cross-sectional dependency and structural breaks play an important role for better understanding the behavior of the stock market indices, (ii) recent panel unit root testing methodologies that consider both structural shifts and cross-sectional dependency provide a strong evidence for the weak-form efficiency of stock markets, (iii) the stationarity property of series is consistent regardless of whether capturing structural shifts as sharp or gradual process and finally, (iv) modelling approach to cross-section dependency matters for deciding whether stock prices can be characterized as random walk or mean reversion processes.
Book Synopsis Stock Market Prices Do Not Follow Random Walks by : A. Craig MacKinlay
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.
Book Synopsis A Non-Random Walk Down Wall Street by : Andrew W. Lo
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.
Book Synopsis Random Walk Versus Breaking Trend in Stock Prices by : Kausik Chaudhuri
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:
Book Synopsis More Evidence Against the Random Walk Hypothesis by : Shunxin Jiang
Download or read book More Evidence Against the Random Walk Hypothesis written by Shunxin Jiang and published by World Scientific Publishing Company Incorporated. This book was released on 2015 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The book is useful and interesting reading for academics, professionals and students in finance." Zentralblatt MATH This volume provides more evidence against the Random Walk Hypothesis and offers insights into market inefficiency through systematically trading exchange-traded funds (ETFs). The book is organized to answer the following three questions: Do ETF prices follow random walks? If not, what are some of the factors that impact their non-random walk behavior? How can investors take advantage of such price dynamics in trading ETFs?
Book Synopsis Stock Market Prices Do Not Follow Random Walks by : Andrew Wen-Chuan Lo
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:
Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong
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.
Book Synopsis Stock Market Prices Do Not Follow Random Walks by : Andrew W. Lo
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.
Book Synopsis Stock Market Prices Do Not Follow Random Walks by : Andrew W. Lo
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 1987 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Efficient Market Theory and Evidence by : Andrew Ang
Download or read book The Efficient Market Theory and Evidence written by Andrew Ang and published by Now Publishers Inc. This book was released on 2011 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
Book Synopsis The Random Walk and Beyond by : Mark A. Johnson
Download or read book The Random Walk and Beyond written by Mark A. Johnson and published by . This book was released on 1988-02-10 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: A lucid, witty, and intelligent guide to modern investment theory, the evidence for and against it, and how to translate theory into practical investment strategies. Explains the ``Random Walk'' or the Efficient Market Hypothesis and shows what it means, where it is true, where it is not -- and how investors can take advantage of the areas in which it is not true to earn greater profits without increased risk. Examines concepts of value, how the numbers can lie, diversification, market risk, out-of-favor stocks, little stocks and market timing. Forbes columnist Kenneth Fisher wrote of Johnson's book: ``Indispensable for those wanting to bypass Wall Street's most common dead ends.''
Book Synopsis Beyond the Random Walk by : Vijay Singal
Download or read book Beyond the Random Walk written by Vijay Singal and published by Oxford University Press. This book was released on 2003-12-04 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis The Random Walk Behaviour of Stock Prices by : Arusha Cooray
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:
Book Synopsis Proceedings of the 2022 International Conference on Mathematical Statistics and Economic Analysis (MSEA 2022) by : Gaikar Vilas Bhau
Download or read book Proceedings of the 2022 International Conference on Mathematical Statistics and Economic Analysis (MSEA 2022) written by Gaikar Vilas Bhau and published by Springer Nature. This book was released on 2022-12-22 with total page 1514 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book. 2022 International Conference on Mathematical Statistics and Economic Analysis(MSEA 2022) will be held in Dalian, China from May 27 to 29, 2022. Based on probability theory, mathematical statistics studies the statistical regularity of a large number of random phenomena, and infers and forecasts the whole. Economic development is very important to people's life and the country. Through data statistics and analysis, we can quickly understand the law of economic development. This conference combines mathematical statistics and economic analysis for the first time to explore the relationship between them, so as to provide a platform for experts and scholars in the field of mathematical statistics and economic analysis to exchange and discuss.
Book Synopsis Stock Market Prices Do Not Follow Random Walks by :
Download or read book Stock Market Prices Do Not Follow Random Walks written by and published by . This book was released on 1987 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Fractalist by : Benoit Mandelbrot
Download or read book The Fractalist written by Benoit Mandelbrot and published by Vintage. This book was released on 2014-01-14 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is the remarkable life story of Benoit Mandelbrot, the creator of fractal geometry, and his unparalleled contributions to science mathematics, the financial world, and the arts. Mandelbrot recounts his early years in Warsaw and in Paris, where he was mentored by an eminent mathematician uncle, through his days evading the Nazis in occupied France, to his education at Caltech, Princeton, and MIT, and his illustrious career at the IBM Thomas J. Watson Research Center. An outside to mainstream scientific research, he managed to do what others had thought impossible: develop a new geometry that combines revelatory beauty with a radical way of unfolding formerly hidden scientific laws. In the process he was able to use geometry to solve fresh, real-world problems. With exuberance and an eloquent fluency, Benoit Mandelbrot recounts the high points of his fascinating life, offering us a glimpse into the evolution of his extraordinary mind. With full-color inserts and black-and-white photographs throughout.
Book Synopsis The Lagrange Multiplier Test and Its Applications to Model Specification by : Trevor Stanley Breusch
Download or read book The Lagrange Multiplier Test and Its Applications to Model Specification written by Trevor Stanley Breusch and published by . This book was released on 1978 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
