Speculation Under the Random Walk Hypothesis |
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Authors: | Martin J Beckmann |
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Institution: | Brown University, USA |
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Abstract: | Under the random walk hypothesis this paper derives simple decision rules for owning and selling a stock. Two scenarios are considered, first, a 'blue chip' security with low volatility (as measured by the variance of stock price changes per time interval)paying a fixed dividend a and, second, a stock of high volatility and no dividends with a (low)price at which it can be sold back to the company. |
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