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Unformatted text preview: any one period (standard deviation = (variance) 1/2 ) • 68% chance that stock return will be between mean – standard deviation and mean + standard deviation • 95% chance that stock return will be between mean -2 standard deviation and mean + 2 standard deviation. 3. Price behaviour and information efficiency: Types of information efficiency: 1. Weak-form efficiency Information set = previous price changes/returns 2. Semi-strong form efficiency Information set = publicly available information 3. Strong form efficiency Information set = all information, public and private Anomalies/regularities? – weekend effects – seasonal effects – post-earnings announcement drift (PAD)price momentum...
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- Fall '11
- Standard Deviation, Harmonic mean