the behavior of stock market prices eugene f fama the journal phần 6 ppsx

... 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...

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 ... 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...

Ngày tải lên: 09/08/2014, 20:20

... 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...

Ngày tải lên: 09/08/2014, 20:20

... 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...

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 ... 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...

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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