Inter-temporal pricing efficiency: Work on the computer industry markets
Honor’s Thesis by Todd Lohr
- Exhaustive search for profitable technical trading rules
- Lagged prices and lagged changes cannot predict future price changes
“Expectations and Learning in Iowa”
- by Peter Bossaerts and Oleg Bondarenko
- Prices follow efficient Bayesian updating (but may have a biased prior)
Both note an ex-post upward drift for winners and downward drift for losers
- Cannot be exploited profitably