the behavior of stock market prices eugene f fama the journal phần 6 ppsx
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 ...
The Dow Theory, of course, is the best known
example of a chartist theory.
The Behavior of Stock- Market Prices
Eugene F. Fama
The Journal...
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 ... of
the actual closing price on day t, the day
of the split. These adjustments reflect
the fact that the process of splitting a
stock involves no change either in t...
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 ... interfractile range as the difference
between the values of a random variable
at two different fractiles of its distribu-
tion. The interfractile range,
R,,
of...
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...
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 ... fractiles arc the fractilcs of the distributions of all price changes and not of the distrlbut~ons
of successors to large changes.
97
BEHAVIOR OF STOC...
the behavior of stock market prices eugene f fama the journal phần 6 ppsx
... 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...
patterns in three centuries of stock market prices
... y0 w1 h1" alt=""
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