Stock return predictability despite low autocorrelation

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Author(s)Amini S, Hudson R, Keasey K
Publication type Article
JournalEconomics Letters
Year2010
Volume108
Issue1
Pages101-103
ISSN (print)0165-1765
ISSN (electronic)1873-7374
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This paper shows that short horizon stock returns can be predicted to a much greater degree by past price movements than would be anticipated given their low autocorrelation. This raises doubts over the reliability of the autocorrelation statistic as a measure of stock market predictability.
PublisherElsevier BV
URLhttp://dx.doi.org/10.1016/j.econlet.2010.04.031
DOI10.1016/j.econlet.2010.04.031
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