Although momentum strategies result in abnormal profitability,thereby challenging the efficient market hypothesis(EMH),concerns persist regarding their reliability due to their significant volatility and susceptibilit...Although momentum strategies result in abnormal profitability,thereby challenging the efficient market hypothesis(EMH),concerns persist regarding their reliability due to their significant volatility and susceptibility to substantial losses.In this study,we investigate the limitations of these strategies and propose a solution.Our literature review reveals that the volatile profits are due to statistical analyses that assume the persistence of past patterns,leading to unreliable results in out-of-sample scenarios when underlying mechanisms evolve.Statistical analysis,the predominant method in financial economics,often proves inadequate in explaining market fluctuations and predicting crashes.To overcome these limitations,a paradigm shift towards dynamic approaches is essential.Drawing inspiration from three groundbreaking economists,we introduce the extended Samuelson model(ESM),a dynamic model that connects price changes to market participant actions.This paradigm transition uncovers several significant findings.First,timely signals indicate momentum initiations,cessations,and reversals,validated using S&P 500 data from 1999 to 2023.Second,ESM predicts the 1987 Black Monday crash weeks in advance,offering a new perspective on its underlying cause.Third,we classify sequential stock price data into eight distinct market states,including their thresholds for transitions,laying the groundwork for market trend predictions and risk assessments.Fourth,the ESM is shown to be a compelling alternative to EMH,offering potent explanatory and predictive power based on a single,realistic assumption.Our findings suggest that ESM has the potential to provide policymakers with proactive tools,enabling financial institutions to enhance their risk assessment and management strategies.展开更多
The stock market in the form of the S&P 500 is estimated to be inefficient in 13%to 30%of the time since 1963.This is contrary to the theory of efficient capital markets,but in accordance with Samuelson’s Dictum,...The stock market in the form of the S&P 500 is estimated to be inefficient in 13%to 30%of the time since 1963.This is contrary to the theory of efficient capital markets,but in accordance with Samuelson’s Dictum,which posits that the stock market is micro efficient,but macro inefficient.I develop a new model to measure potential inefficiency at macro level.Inefficiency in price(P)is driven by earnings(EPS)and/or valuation(P/E).At the peak of the TMT-bubble in 1999/2000,both factors were in play,while only earnings assumptions were inefficient before the Great Financial Crisis in 2008/09.The model developed show expected results in terms of relative efficiency for Developed vs.Emerging Markets and for Dow Jones vs.Nasdaq.Parts of academia seems to accept a different definition of market efficiency at micro level compared to macro level.At macro level,a standard“price vs.fair value”definition seems to be generally accepted,while at micro level,a relative“price vs.price”definition seems to be broadly used.The latter way of thinking has historically contributed to price bubbles.Numerous examples of stock prices that deviate significantly from their fair value in days,weeks and months and doubtful methods for measuring efficiency at micro level cast doubt about the micro efficiency claim part of Samuelson’s Dictum.展开更多
Objectives: The aim of this study was to evaluate how Swedish women describe their emotional state of being during the eighth week through the eleventh week after they have become pregnant again after suffering a prev...Objectives: The aim of this study was to evaluate how Swedish women describe their emotional state of being during the eighth week through the eleventh week after they have become pregnant again after suffering a previous miscarriage. Method: A qualitative content analysis with an inductive approach has been used to analyze fourteen interviews that served as the data base for this study. The content analysis resulted in the development of five categories which evolved into one primary theme. Findings: The five categories identified were Worry and preoccupation;Distance;managing their feelings;Mourning what is lost;Guarded happiness and expectations. These categories were compiled into a main theme, “Worry consumes a lot of energy, but on the other side lies happiness”. This theme focused on whether the women could feel any happiness about being pregnant again despite their concerns with the previous miscarriage. Conclusions: The emotional states of the women when they get pregnant again are typically characterized by anxiety, worry and concerns about their current pregnancy. The women have a tendency to distance themselves emotionally from their pregnancy but also strive to find the joy of being pregnant again. During the new pregnancy they find themselves in need of support from their family and friends as well as in need of support from the healthcare system.展开更多
You May Select A man complained that his wife always cooked the same dish for him.One day,he got back home and asked his wife,“My dear,what will we eat today?”The woman said,“You may select from two of them today....You May Select A man complained that his wife always cooked the same dish for him.One day,he got back home and asked his wife,“My dear,what will we eat today?”The woman said,“You may select from two of them today.”He was very glad and asked,“Which dishes are there today?”展开更多
文摘Although momentum strategies result in abnormal profitability,thereby challenging the efficient market hypothesis(EMH),concerns persist regarding their reliability due to their significant volatility and susceptibility to substantial losses.In this study,we investigate the limitations of these strategies and propose a solution.Our literature review reveals that the volatile profits are due to statistical analyses that assume the persistence of past patterns,leading to unreliable results in out-of-sample scenarios when underlying mechanisms evolve.Statistical analysis,the predominant method in financial economics,often proves inadequate in explaining market fluctuations and predicting crashes.To overcome these limitations,a paradigm shift towards dynamic approaches is essential.Drawing inspiration from three groundbreaking economists,we introduce the extended Samuelson model(ESM),a dynamic model that connects price changes to market participant actions.This paradigm transition uncovers several significant findings.First,timely signals indicate momentum initiations,cessations,and reversals,validated using S&P 500 data from 1999 to 2023.Second,ESM predicts the 1987 Black Monday crash weeks in advance,offering a new perspective on its underlying cause.Third,we classify sequential stock price data into eight distinct market states,including their thresholds for transitions,laying the groundwork for market trend predictions and risk assessments.Fourth,the ESM is shown to be a compelling alternative to EMH,offering potent explanatory and predictive power based on a single,realistic assumption.Our findings suggest that ESM has the potential to provide policymakers with proactive tools,enabling financial institutions to enhance their risk assessment and management strategies.
文摘The stock market in the form of the S&P 500 is estimated to be inefficient in 13%to 30%of the time since 1963.This is contrary to the theory of efficient capital markets,but in accordance with Samuelson’s Dictum,which posits that the stock market is micro efficient,but macro inefficient.I develop a new model to measure potential inefficiency at macro level.Inefficiency in price(P)is driven by earnings(EPS)and/or valuation(P/E).At the peak of the TMT-bubble in 1999/2000,both factors were in play,while only earnings assumptions were inefficient before the Great Financial Crisis in 2008/09.The model developed show expected results in terms of relative efficiency for Developed vs.Emerging Markets and for Dow Jones vs.Nasdaq.Parts of academia seems to accept a different definition of market efficiency at micro level compared to macro level.At macro level,a standard“price vs.fair value”definition seems to be generally accepted,while at micro level,a relative“price vs.price”definition seems to be broadly used.The latter way of thinking has historically contributed to price bubbles.Numerous examples of stock prices that deviate significantly from their fair value in days,weeks and months and doubtful methods for measuring efficiency at micro level cast doubt about the micro efficiency claim part of Samuelson’s Dictum.
文摘Objectives: The aim of this study was to evaluate how Swedish women describe their emotional state of being during the eighth week through the eleventh week after they have become pregnant again after suffering a previous miscarriage. Method: A qualitative content analysis with an inductive approach has been used to analyze fourteen interviews that served as the data base for this study. The content analysis resulted in the development of five categories which evolved into one primary theme. Findings: The five categories identified were Worry and preoccupation;Distance;managing their feelings;Mourning what is lost;Guarded happiness and expectations. These categories were compiled into a main theme, “Worry consumes a lot of energy, but on the other side lies happiness”. This theme focused on whether the women could feel any happiness about being pregnant again despite their concerns with the previous miscarriage. Conclusions: The emotional states of the women when they get pregnant again are typically characterized by anxiety, worry and concerns about their current pregnancy. The women have a tendency to distance themselves emotionally from their pregnancy but also strive to find the joy of being pregnant again. During the new pregnancy they find themselves in need of support from their family and friends as well as in need of support from the healthcare system.
文摘You May Select A man complained that his wife always cooked the same dish for him.One day,he got back home and asked his wife,“My dear,what will we eat today?”The woman said,“You may select from two of them today.”He was very glad and asked,“Which dishes are there today?”
