haku: @indexterm STRUCTURAL CHANGE / yhteensä: 382
viite: 140 / 382
| Tekijä: | Crack, T. Ledoit, O. |
| Otsikko: | Robust structure without predictability: the "Compass Rose" pattern of the stock market |
| Lehti: | Journal of Finance
1996 : JUN, VOL. 51:2, p. 751-762 |
| Asiasana: | STRUCTURAL CHANGE STOCK MARKETS FINANCE |
| Kieli: | eng |
| Tiivistelmä: | Plotting daily stock returns against themselves with one day's lag reveals a striking pattern. Evenly spaced lines radiate from the origin; the thickest lines point in the major directions of the compass. This "compass rose" pattern appears in every stock. It is caused by discreteness. However, counter-examples demonstrate that the existence of exchange-imposed tick sizes is neither necessary nor sufficient for the compass rose. The compass rose cannot be used to make abnormal profits: it is structure without predictability. |
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