Seminar Listing

Stock Market Inefficiencies Over the Last Six Decades

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October 18, 3:00 - 4:30, Hill Center 552
Abstract: A sizable body of empirical research suggests that securities’ prices follow a random walk; i.e., that successive price changes can be treated as identically distributed independent random variables. Much effort has been expended in identifying the probably distribution to which stock prices changes confirm. We explore the evolution of these efforts and test new evidence concerning the nature of these distributions and their implication for stock market efficiency over the last six decades. The results suggest the Gaussian representation of the model is inadequate in explaining stock price changes, the parameters of the distributions are time dependent; the importance of their third and fourth moments has been largely ignored; and simple specification of the model omits significant explanatory variables.
Speaker: C. Michael Carty, Principal and Chief Investment Officer, New Millennium Advisors, LLC
Bio: Michael supervises the construction and management of portfolios to achieve specific client objectives. He also designs, develops and evaluates indexes for use as ETFs. In addition he serves as an expert witness in securities cases. Prior to founding New Millennium Advisors in 1995 he was the Director of Closed-end Funds Strategy and Research at Prudential Securities and, before that, the Associate Research Chairman and Senior Portfolio Manager at Value Line where he managed the flagship Value Line Fund and the Centurion Fund, then the best performing equity growth fund in Lipper’s variable annuities universe. He currently serves as president of the New York chapter of the Quantitative Work Alliance for Applied Finance, Education and Wisdom, is a member of the Financial Analysts – Money Manager Society, and Alpha Pi Mu (the Industrial Engineering Honor Society). His academic background includes a BS degree in Industrial Engineering from the New Jersey Institute of Technology and a MBA from Columbia University where he also pursued doctoral studies.