Regression analysis can be used to test whether the market efficiently uses information in valuing stocks. For concreteness, let return be the total return from holding a firm's stock over the four- year period from the end of 1990 to the end of 1994. The efficient markets hypothesis says chat these returns should not be systematically related to information known in 1990. If firm characteristics known at the beginning of the period help to predict stock returns, then we could ase this information in choosing stocks. 1
Regression analysis can be used to test whether the market efficiently uses information in valuing stocks. For concreteness, let return be the total return from holding a firm's stock over the four- year period from the end of 1990 to the end of 1994. The efficient markets hypothesis says chat these returns should not be systematically related to information known in 1990. If firm characteristics known at the beginning of the period help to predict stock returns, then we could ase this information in choosing stocks. 1
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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