EVOLUTION OF KEY INVESTMENT THEORIES AND THEIR INTERRELATION WITH APPROACHES TO COST OF SECURITIES ANALYSIS IN STOCK MARKET
Abstract
The article considers the interrelation between key investment theories and formed approaches to securities analysis. The development of investment theory in stock market is examined. Interrelations between technical and fundamental analysis with hypotheses of effective and fractal markets are considered.
About the Author
P. N. Likhutin
Novosibirsk State University of Economics and Management
Russian Federation
Russian Federation
Chair of Economy and Business Novosibirsk State University of Economics and Management, Novosibirsk
References
1. Bodi Z., Kejn A., Markus A. Principy investicij / Per. s angl. M.: Izdatel’skij dom «Vil’jams», 2002.
2. Brighem Ju., Gapenski L. Finansovyj menedzhment / Per. s angl. SPb.: Jekonomicheskaja shkola, 1997. 2 t.
3. Voroncovskij A.V. Sovremennye koncepcii rynka kapitala: sravnitel’nyj analiz i prakticheskoe znachenie // Vestnik SPbGU. Ser. 5. 2001. Vyp. 1 (№ 5).
4. Kolmogorov A.N. Lokal’naja struktura turbulentnosti v neszhizhaemoj vjazkoj zhidkosti pri ochen’ bol’shih chislah Rejnol’dsa // DAN SSSR 30(4), 299 (1941).
5. Mandel’brot B., Hadson R. (Ne)poslushnye rynki: fraktal’naja revoljucija v finansah / Per. s angl. M.: Vil’jams, 2006. 400 p.
6. Peters Je. Fraktal’nyj analiz finansovyh rynkov: Primenenie teorii Haosa v investicijah I jekonomike. M.: Internet-trejding, 2004. 304 p.
7. Sharp U., Aleksander G., Bjejli Dzh. Investicii / Per. s angl. M.: INFRA-M, 2006.
8. 8 . Shirjaev A.N. Osnovy stohasticheskoj finansovoj matematiki. T. 1: Fakty. Modeli. M.: FAZIS, 2004. 512 p
9. Bachelier L., Coother P.H. (Ed.) Theory of Speculation (Translation of 1900 French edn) // The Random Character of Stock Market Prices. The MIT Press, Cambridge, 1964. P. 17–78.
10. Coother P.H. (Ed.) // The Random Character of Stock Market Prices. The MIT Press, Cambridge, 1964.
11. Cowles A. Can stock market forecasters forecast? // Econometrica. 1993. Vol. 1. P. 309–324.
12. Engle R. Autoregressive Conditional Heteroskedasticity With Estimates of the Variance of U.K. Inflation // Econometrica. 1982. № 50. P. 987–1008.
13. Fama E. Portfolio Analysis in a Stable Paretian Market // Management Science. 1965. № 11.
14. Fischer B., Myron S. The Pricing of Options and Corporate Liabilities // Journal of Political Economy. 1973.
15. Grossman S.J., Stiglitz J.E. On the Impossibility of Informationally Efficient Markets // Amer. Econ. Rev. 1980. June. P. 393–408.
16. Kendall M.G. The analysis of economic time-series. Part 1. Prices // Journal of the Royal Statistical Society. 1953. Vol. 96. P. 11–25.
17. Lintner J. The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets // Review of Economics and Statistics. February. 1965.Vol. 47. № 1. P. 13–37.
18. Osborne M. F. M. «Vrownian motion in the stock market» // US Naval Research Laboratory, Washington 26, DC (Received February 6, 1958).
19. Mandelbrot B. The Variation of Certain Speculative Prices / P. Cootner, ed., The Random Character of Stock Prices. Cambridge: MIT Press, 1964.
20. Mossin J. Equilibrium in a Capital Asset Market // Econometrica. 1966. Vol. 34. № 4 (October). P. 768–783.
21. Markowitz H. Portfolio Selection: Efficient diversification of Investment. Wiley, New York, 1959.
22. Peters E. Fractal Structure in the Capital Markets // Financial Analysts Journal. July/ August. 1991.
23. Ross S. The Arbitrage Theory of Capital Asset Pricing // Journal of Economic Theory. 1976. Vol. 13. P. 341–360.
24. Sharpe W. Capital Asset Prices – A Theory of Market Equilibrium Under Conditions of Risk // Journal of Finance. 1964. XIX (3). P. 425.
25. Vaga T. The Coherent Market Hypothesis // Financial Analysts Journal. December/ January. 1991.
26. Wiener N. Differential space. J. Math. and Phys. 2 (1923), 131–174.
27. Working H. A random-difference series of use in the analysis of time series // Journal of American Statistical Association. 1934. Vol. 29. P. 11–24.
Review
For citations:
Likhutin P.N. EVOLUTION OF KEY INVESTMENT THEORIES AND THEIR INTERRELATION WITH APPROACHES TO COST OF SECURITIES ANALYSIS IN STOCK MARKET. Vestnik NSUEM. 2012;(3):67-77. (In Russ.)
Email this article 
