Stock return predictability despite low autocorrelation

被引：13
|
作者：
Amini, Shima [1 ]
Hudson, Robert [2 ]
Keasey, Kevin [1 ]
机构：
[1] Univ Leeds, Sch Business, Ctr Adv Studies Finance, Leeds LS2 9JT, W Yorkshire, England
[2] Newcastle Univ, Sch Business, Newcastle Upon Tyne NE1 4JH, Tyne & Wear, England
来源：
ECONOMICS LETTERS | 2010年 / 108卷 / 01期
关键词：
Autocorrelation; Predictability; Market efficiency; MARKET-EFFICIENCY; REVERSALS; RISK;
D O I：
10.1016/j.econlet.2010.04.031
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. Crown Copyright (C) 2010 Published by Elsevier B.V. All rights reserved.
引用
收藏
页码：101 / 103
页数：3
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