Black was right: price is within a factor 2 of value

Jean-Philippe Bouchaud, Stefano Ciliberti, Yves Lempérière, Adam Majewski, Kevin Sin Ronia, Philip Seager
10 Oct 2018

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J.-P. Bouchaud, S. Ciliberti, Y. Lempérière, A. Majewski, P. Seager and K. Sin Ronia provide further evidence that markets trend in the medium term (months) and mean revert in the long term (several years). These results bolster Black’s intuition that prices tend to be off by roughly a factor of two and take years to equilibrate

In his remarkably insightful 1986 piece called Noise, Fisher Black (1986) famously wrote: “An efficient market is one in which price is

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