A Historical Analysis of Market Efficiency: Do Historical Returns Follow a Random Walk?
نویسندگان
چکیده
This study examines the degree of random walk in daily stock prices for all stocks listed on the NYSE from February 1885 through July 1962. Modern day anomalies are examined in conjunction with historical data in an attempt to explain the return series. While many regularly observed patterns occurred before 1962, they were unable to aid in the prediction of future stock price movements. The results are consistent with the preponderance of modern efficient market studies in that historical stock returns are found to follow a random walk.
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