"...a study by finance Professor Ben Jacobsen, has spread rapidly around the finance community. Professor Jacobsen, and his associates, have reported that conclusions on stock market return predictability vary drastically when the timeframes of observation are altered.
They say forecasts will vary, for example, if they are based on data from three or 11 days trading instead of on data from commodity prices over a month, a week or a day – as is current practice. Data taken from varied periods of commodity trading gives surprising results that challenge the cornerstone of finance research, says Professor Jacobsen.....
The full study ‘The Interval of Observation’ by Ben Jacobsen, Ben Marshall and Nuttawat Visaltanochoti is available on http://ssrn.com/abstract=965336
Saturday, March 17, 2007
A MUST READ ON EMH!!
Massey News Article - New take on predicting stock market returns: