the behavior of stock market prices eugene f fama the journal phần 5 pdf
the behavior of stock market prices eugene f fama the journal phần 1 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 ... Theory, of course, is the best known example of a chartist theory. The Behavior of Stock- Market Prices Eugene F. Fama The Journal of Bus...
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the behavior of stock market prices eugene f fama the journal phần 2 pdf
... 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 ... between the logarithm of this doubled price and the logarithm of the closing price for day t - 1 is the first difference for day t. The first difference for day t...
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the behavior of stock market prices eugene f fama the journal phần 3 pot
... 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 the serial correlation coefficient ... 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 co...
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the behavior of stock market prices eugene f fama the journal phần 4 pps
... 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 ... the largest prof- 7 8 THE JOURNAL OF BUSINESS above expressions give the breakdown of the total expected number of runs into the expected numbers of runs of...
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the behavior of stock market prices eugene f fama the journal phần 5 pdf
... 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 ... minimizing the sum of the absolute val- ues of the residuals from the regression line. Since the expectation of the absolute value of the residual...
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the behavior of stock market prices eugene f fama the journal phần 6 ppsx
... 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 Pareto, for very large values of y this is just ... by nila if the scale, or unit of meas- urement, of the distribution of sums is to be the same as that of the distribution of the indi- vidual sum...
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