As discussed previously, speculative efficiency simply requires that changes in the level of the series are not forecastable
On the other hand, if changes in speculative prices are smooth and forecastable
, then speculators who are quick to react to this known serial dependency and investors who are lucky to be transacting in the right direction will receive wealth transfers from those who are slow to react or who are unlucky enough to be transacting in the wrong direction.
To our annual look ahead at the region's biggest economies, we've added eight key sectors for which forecastable
figures exist across most of the big markets.
It's comforting that these variables do not include the level of market prices, removing any suspicion that returns are forecastable
simply because a "fad" in prices washes away.
27) Even if the strategy is not forecastable
and thus duplicable going forward, the possibility exists of front running, trading ahead of adviser transactions as they amass holdings over a period of time.
For example, the theory yields forecastable
variation in the size of the value/glamour differential, in volatility; and in the skewness of returns.
Second, although there is debate regarding the degree to which the deflation of 1929-33 was forecastable
at short horizons (see Dominguez et al.
But research has shown that over the longer-term, say over a ten-year forecast horizon, stock prices, whether expressed as PE ratios, dividend yields, or total returns may be to some degree forecastable
(Campbell and Shiller 1988).
If we again invoke the Fisher relationship, and assume that inflation is perfectly forecastable
, then the difference in the conventional coupon rate and the TIPS coupon rate perfectly reflects future inflation (ignoring the cross-product term):
Snyder's scenarios of the reliably forecastable
future serve as "reality checks" to distinguish the short-term fads in the business environment from the long-term realities, and to separate conventional thinking from strategic thinking.
Wholesale and Retail Process: Bivariate Time-Series Modeling with Forecastable
Error Variances," in Belsley and Kuhn, eds.
This simple example is relatively easy to manage and allows a company to gain a predictable, forecastable
revenue stream from a patent.