Looking At Today's Stock Market: Trying to Make Sense of Tomorrow's.
Is there any quantitative rationale for stocks that trade with such astronomical values? This paper will explore this last question by applying time series and random walk analysis. In the final analysis, it will be clear that time series data has little if any ability to predict short term returns. Interestingly, the paper also finds that new economy stocks (such as Yahoo and AOL) clearly do not exhibit signs of a random walk, but older economy stocks like Coca Cola and Proctor and Gamble may. It is clear that the more companies are linked to the new, information based economy, the less their stocks exhibit sings of a random walk. 12.5 pgs. 9 f/c. 7b.
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