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Journal of Business and Economic Statistics

Опубликовано на портале: 01-11-2007
Jennifer Conrad, Mustafa N. Gultekin, Gautam Kaul Journal of Business and Economic Statistics. 1997.  Vol. 15. No. 3. P. 379-386. 
In recent years, several researchers have argued that the stock market consistently overreacts to new information, which, in turn, results in price reversals. Lehmann and others showed that a contrarian can make substantial profits in the short run by simply buying losers and selling winners. We, however, demonstrate that these profits are largely generated by the bid-ask bounce in transaction prices; accounting for this "bounce" by using bid prices eliminates all profits from price reversals for NASDAQ-NMS stocks and most of the profits for NYSE/AMEX stocks. Moreover, any remaining profits (regardless of their source) disappear at trivial levels of transactions costs.
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Опубликовано на портале: 01-07-2004
George Tauchen Journal of Business and Economic Statistics. 1990.  Vol. 8. No. 1. P. 49-51. 
Solution algorithm that uses value-function iterations on a discrete state space is presented for the capital growth model set forth by Taylor and Uhlig (1990). The grid for the exogenous process is set using the quadrature technique, and the grid for the endogenous capital process is set using a simple equispaced scheme in logarithms. The discretized model is then solved with value-function iterations. The algorithm is coded in GAUSS and run on a Compaq 386-25 computer. It appears to be very successful. When applied to a slightly different version of the problem in which the exact solution is known, the algorithm can approximate the exact solution with 4-digit accuracy and with a computational time of about 40 to 45 minutes. While the algorithm approximates the decision rule closely, it still might appear to do poorly on criteria that test for statistical violations of orthogonality conditions implied by the Euler equation. This is because a value-function approach does not impose the Euler equation explicitly on the discrete model.
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