Black was right: price is within a factor 2 of value
CFM’s quants verify Fisher Black’s intuition on mean reversion still applies today
CLICK HERE TO VIEW THE PDF
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
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Investments
7 days in 60 seconds
Autocallables, Mifexit and the value of HFT
The week on Risk.net, September 19-25, 2020
Receive this by email