The Likelihood of Various Stock Market Return Distributions, Part 2 Empirical Results
Document Type
Article
Publication Date
1-1-1996
Abstract
The present article shows how Bayesians should shift beliefs among a family of models concerning the probability distribution of daily changes in the Standard & Poor 500 Index, given a particular sample. The preceding article in this issue showed that classical (R.A. Fisher, Neyman-Pearson) inference can be highly misleading for Bayesians, as can the assumption of a diffuse prior. The present article discusses how to bound Bayesian shifts in belief for compound hypotheses generally, as well as the specific shifts in beliefs among simple and compound hypotheses implied by the particular sample.
DOI
10.1007/BF00056154
MSU Digital Commons Citation
Markowitz, Harry M. and Usmen, Nilufer, "The Likelihood of Various Stock Market Return Distributions, Part 2 Empirical Results" (1996). Department of Accounting and Finance Faculty Scholarship and Creative Works. 123.
https://digitalcommons.montclair.edu/acctg-finance-facpubs/123