Short-term predictability of German stock returns

被引：0
|
作者：
Walter Krämer
机构：
[1] University of Dortmund,Department of Statistics
来源：
Empirical Economics | 1998年 / 23卷 / 4期
关键词：
Autocorrelation; stock returns; predictability; G14; C53;
D O I：
10.1007/BF01205998
中图分类号：
学科分类号：
摘要：
The paper investigates short-horizon individual stock returns; it exhibits statistically and economically significant autocorrelations, which for stock returns have so far been established mainly over long horizons, also for certain daily data, in particular between monday returns and various linear combinations of the previous week's returns.
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页码：635 / 639
页数：4
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