Las caminatas aleatorias no son de este mundo. Teoría y revisión bibliográfica sobre evidencia empírica.

The empirical evidence gathered in this survey related to the hypothesis that stock returns follow a random walk, led us to the conclusion that random walks are not from this world. Besides the fact that the study was performed in a developed or an emerging market, the conclusion is the same. The random walk hypothesis is rejected since the series of stock returns covered by these studies do not follow an identical, independent distribution, and these exhibit some level of autocorrelation. The difference between developed and emerging markets is rather due to the magnitude of the serial dependence which prevents agents from obtaining excess returns in the first type of markets.

• Autores: Maya Ochoa, Cecilia; Torres Avendaño, Gabriel Ignacio
• Fecha de publicación: 2005
• Institución: Universidad EAFIT
• Repositorio: Repositorio EAFIT
• Idioma: spa
• OAI Identifier: oai:repository.eafit.edu.co:10784/925
• Acceso en línea: http://hdl.handle.net/10784/925
• Palabra clave: Random Walks; Market Efficiency Hypothesis; Colombian Stock Exchange; Caminata aleatoria; Hipótesis de eficiencia de los mercados; Mercado accionario colombiano
• License: Acceso abierto