Stock return predictability despite low autocorrelation
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- Professor Robert Hudson
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| Author(s) | | Amini S, Hudson R, Keasey K |
| Publication type | | Article |
| Journal | | Economics Letters |
| Year | | 2010 |
| Volume | | 108 |
| Issue | | 1 |
| Pages | | 101-103 |
| ISSN (print) | | 0165-1765 |
| ISSN (electronic) | | 1873-7374 |
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| Full text is available for this publication: |
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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. |
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| Publisher | | Elsevier BV |
| URL | | http://dx.doi.org/10.1016/j.econlet.2010.04.031 |
| DOI | | 10.1016/j.econlet.2010.04.031 |
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