Temporary Components of Stock Returns: What Do the Data Tell Us?
采用主观主义分析方法，将数据视为固定，检验股票收益中是否存在可预测的暂时性成分，结论是股票价格基本遵循随机游走。
Within the past few years several articles have suggested that returns on large equity portfolios may contain a significant predictable component at horizons 3 to 6 years. Subsequently, the tests used in these analyses have been criticized (appropriately) for having widely misunderstood size and power, rendering the conclusions inappropriate. This criticism however has not focused on the data, it addressed the properties of the tests. In this article we adopt a subjectivist analysis – treating the data as fixed – to ascertain whether the data have anything to say about the permanent/temporary decomposition. The data speak clearly and they tell us that for all intents and purposes, stock prices follow a random walk.