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- W4236676463 abstract "This paper uses a Markov chain model to test the random walk hypothesis of stock prices. Given a time series of returns, a Markov chain is defined by letting one state represent high returns and the other represent low returns. The random walk hypothesis restricts the transition probabilities of the Markov chain to be equal irrespective of the prior years. Annual real returns are shown to exhibit significant nonrandom walk behavior in the sense that low (high) returns tend to follow runs of high (low) returns in the postwar period." @default.
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- W4236676463 date "1991-03-01" @default.
- W4236676463 modified "2023-10-05" @default.
- W4236676463 title "Are Stock Returns Predictable? A Test Using Markov Chains" @default.
- W4236676463 doi "https://doi.org/10.2307/2328695" @default.
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