{"title":"对股票收益的预测可能是错误的:这是对麦基尔关于飞镖投资的断言的随机证实","authors":"M. Weba","doi":"10.17654/ts062020131","DOIUrl":null,"url":null,"abstract":"Several studies on portfolio construction reveal that sensible strategies essentially yield the same results as their nonsensical inverted counterparts; moreover, random portfolios managed by Malkiel’s dart-throwing monkey would outperform the cap-weighted benchmark index. Forecasting the future development of stock returns is an important aspect of portfolio assessment. Similar to the ostensible arbitrariness of portfolio selection methods, it is shown that there is no substantial difference between the performances of “best” and “trivial” forecasts - even under euphemistic model assumptions on the underlying price dynamics. A certain significance of a predictor is found only in the following special case: the best linear unbiased forecast is used, the planning horizon is small, and a critical relation is not satisfied.","PeriodicalId":430943,"journal":{"name":"Far East Journal of Theoretical Statistics","volume":"20 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"PREDICTION OF STOCK RETURNS MAY BE FALLACIOUS: A STOCHASTIC CONFIRMATION OF MALKIEL’S ASSERTION ON DARTBOARD INVESTMENTS\",\"authors\":\"M. Weba\",\"doi\":\"10.17654/ts062020131\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Several studies on portfolio construction reveal that sensible strategies essentially yield the same results as their nonsensical inverted counterparts; moreover, random portfolios managed by Malkiel’s dart-throwing monkey would outperform the cap-weighted benchmark index. Forecasting the future development of stock returns is an important aspect of portfolio assessment. Similar to the ostensible arbitrariness of portfolio selection methods, it is shown that there is no substantial difference between the performances of “best” and “trivial” forecasts - even under euphemistic model assumptions on the underlying price dynamics. A certain significance of a predictor is found only in the following special case: the best linear unbiased forecast is used, the planning horizon is small, and a critical relation is not satisfied.\",\"PeriodicalId\":430943,\"journal\":{\"name\":\"Far East Journal of Theoretical Statistics\",\"volume\":\"20 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-10-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Far East Journal of Theoretical Statistics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.17654/ts062020131\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Far East Journal of Theoretical Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.17654/ts062020131","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
PREDICTION OF STOCK RETURNS MAY BE FALLACIOUS: A STOCHASTIC CONFIRMATION OF MALKIEL’S ASSERTION ON DARTBOARD INVESTMENTS
Several studies on portfolio construction reveal that sensible strategies essentially yield the same results as their nonsensical inverted counterparts; moreover, random portfolios managed by Malkiel’s dart-throwing monkey would outperform the cap-weighted benchmark index. Forecasting the future development of stock returns is an important aspect of portfolio assessment. Similar to the ostensible arbitrariness of portfolio selection methods, it is shown that there is no substantial difference between the performances of “best” and “trivial” forecasts - even under euphemistic model assumptions on the underlying price dynamics. A certain significance of a predictor is found only in the following special case: the best linear unbiased forecast is used, the planning horizon is small, and a critical relation is not satisfied.