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On the Stationarity of Transition Probability Matrices of Common Stocks

Published online by Cambridge University Press:  19 October 2009

Bruce D. Fielitz
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Extract

Numerous empirical studies have appeared in recent years concerning the behavior of stock market prices. Cootner's book [2] presents an excellent summary of pre-1964 efforts, while Fama's paper [5] discusses some of the more recent work. While a few writers believe that certain price trends and patterns exist which enable the investor to make better predictions of the expected value of future stock price changes, the majority of these studies conclude that past price data alone cannot form the basis for the prediction of the expected value of price movements in the stock market.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 10 , Issue 2 , June 1975 , pp. 327 - 339
Copyright
Copyright © School of Business Administration, University of Washington 1975

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References

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