Bøger af Andrew Ang

Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time series ARIMA models; regressions using real activity measures motivated from the Phillips curve; term structure models that include linear, non-linear, and arbitrage-free specifications; and survey-based measures. We also investigate several methods of combining forecasts. Our results show that surveys outperform the other forecasting methods and that the term structure specifications perform relatively poorly. We find little evidence that combining forecasts produces superior forecasts to survey information alone. When combining forecasts, the data consistently places the highest weights on survey information.

Reviews the extensive theoretical and empirical literature on the efficient markets hypothesis (EMH). Beginning with a brief discussion of current efficient market theory, the authors present the theoretical foundation and discuss the recent empirical evidence on efficiency as it pertains to a range of different markets.