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What it Takes to Beat the Market - Austin Vernon's Blog

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The implication is that you can't beat the market with publicly available data. Over time Fama and Kenneth French expanded on the original findings to show statistical anomalies relating to small companies and companies with high book-to-market ratios (value stocks). These two types of stock performed better than the original model predicted, as the data stood in the 1990s. Fama and French's model predicted 90% of returns. Weak Form Weak form information is historical price data. Data does not show unexplained returns. Semi-Strong Form Adds data like quarterly reports and disclosures. Markets rapidly incorporate this information, meaning semi-strong data is not an enduring source of advantage or inefficiency. Strong Form One trader or firm has monopolistic access to information. Strong form information can confer an advantage but appears limited in public markets. Fama uses a market maker with an order book as an example of a company that can profit from strong form information. The oi

What it Takes to Beat the Market - Austin Vernon's Blog What it Takes to Beat the Market 2021 September 14 Twitter Substack See all posts Alpha isn't what you think. Can You Beat the Market? What is Alpha? Alpha refers to excess returns earned on investment above the average stock market return. Eugene Fama and the Efficient Market Hypothesis Fama sums up the theory as: Asset prices reflect all available information. The implication is that you can't beat the market with publicly available data. Over time Fama and Kenneth French expanded on the original findings to show statistical anomalies r

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