the behavior of stock market prices eugene f fama the journal phần 2 pdf

... generating the price change^.^ From the point of view of the investor, however, specification of the shape of the distribution of price changes is extremely helpful. In general, the form of the ... empirical work. The Dow Theory, of course, is the best known example of a chartist theory. The Behavior of Stock- Market Prices Eugene F. Fama...

Ngày tải lên: 09/08/2014, 20:20

... about a shift in the variance of the first differences. Similarly, the mean of the first differences can change across time as the company's prospects for future profits follow different ... shows the graph of the first differences of log price for daily changes within the week. The set- on& is the graph of Friday-to-Monday changes and of cha...

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... range. For each value of n there are five differ- ent values of i, the different fractile ranges. Column (2) of Table 9 shows the aver- age values of a computed for each stock by the ... of the first differences had finite variance. From the standpoint of consistency the most important feature of the sample coefficients is that for every stock th...

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... between the actual numbers of runs of all signs and the total expected numbers. 'Or for twenty-six out of thirty stocks the total number Of runs Of signs for the differences ... expected numbers of runs of each sign for each stock for differencing intervals of one, four, nine, and sixteen days. The actual numbers of runs and the dif...

Ngày tải lên: 09/08/2014, 20:20

... edge of today's price change does condition our pre- diction of the size, if not the sign, of tomorrow's change. 86 THE JOURNAL OF BUSINESS ences of ten stocks. Six of the stocks ... diver- sification has the effect of reducing the dispersion of the distribution of the re- turn on the portfolio, even though the variance of that d...

Ngày tải lên: 09/08/2014, 20:20

... in time series, then the .f fractile of the distribution of the cumulative sample variance of ut at time tl, as a function of the .f fractile of the distribu- tion of the sample variance ... to the tails of the distribution of y in the following way: But since the tails of the distribution of y follow an asymptotic form of the law of...

Ngày tải lên: 09/08/2014, 20:20

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