Black was right: Price is within a factor 2 of Value

Autor:	Bouchaud, J. P., Ciliberti, S., Lempérière, Y., Majewski, A., Seager, P., Ronia, K. Sin
Rok vydání:	2017
Předmět:	Quantitative Finance - Portfolio Management Quantitative Finance - Statistical Finance
Druh dokumentu:	Working Paper
Popis:	We provide further evidence that markets trend on the medium term (months) and mean-revert on the long term (several years). Our results bolster Black's intuition that prices tend to be off roughly by a factor of 2, and take years to equilibrate. The story behind these results fits well with the existence of two types of behaviour in financial markets: "chartists", who act as trend followers, and "fundamentalists", who set in when the price is clearly out of line. Mean-reversion is a self-correcting mechanism, tempering (albeit only weakly) the exuberance of financial markets. Comment: 9 pages, 5 figures, some refs. added
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1711.04717 Zobrazit plný text záznamu View this record from Arxiv