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The Likelihood of Various Stock Market Return Distributions, Part 2: Empirical Results

HARRY M. MARKOWITZ and NILUFER USMEN
Journal of Risk and Uncertainty
Vol. 13, No. 3 (November 1996), pp. 221-247
Published by: Springer
Stable URL: http://www.jstor.org/stable/41760831
Page Count: 27
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The Likelihood of Various Stock Market Return Distributions, Part 2: Empirical Results
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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.

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