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.
引用
收藏
页码：635 / 639
页数：4
相关论文
共 50 条
  • [21] Multiscale Analysis of the Predictability of Stock Returns
    Fiedor, Pawel
    [J]. RISKS, 2015, 3 (02) : 219 - 233
  • [22] PREDICTABILITY OF FINNISH AND SWEDISH STOCK RETURNS
    OSTERMARK, R
    [J]. OMEGA-INTERNATIONAL JOURNAL OF MANAGEMENT SCIENCE, 1989, 17 (03): : 223 - 236
  • [23] On the predictability of stock returns in real time
    Cooper, M
    Gutierrez, RC
    Marcum, B
    [J]. JOURNAL OF BUSINESS, 2005, 78 (02): : 469 - 499
  • [24] The "Fed Model" and the Predictability of Stock Returns*
    Maio, Paulo
    [J]. REVIEW OF FINANCE, 2013, 17 (04) : 1489 - 1533
  • [25] Testing for episodic predictability in stock returns
    Demetrescu, Matei
    Georgiev, Iliyan
    Rodrigues, Paulo M. M.
    Taylor, A. M. Robert
    [J]. JOURNAL OF ECONOMETRICS, 2022, 227 (01) : 85 - 113
  • [26] THE PREDICTABILITY OF STOCK RETURNS - A NONPARAMETRIC APPROACH
    CHUNG, YP
    ZHOU, ZG
    [J]. JOURNAL OF FINANCE, 1995, 50 (03): : 963 - 963
  • [27] Frequency Effects on Predictability of Stock Returns
    Fiedor, Pawel
    [J]. 2014 IEEE CONFERENCE ON COMPUTATIONAL INTELLIGENCE FOR FINANCIAL ENGINEERING & ECONOMICS (CIFER), 2014, : 247 - 254
  • [28] PREDICTABILITY OF STOCK RETURNS AND REAL OUTPUT
    MARATHE, A
    SHAWKY, HA
    [J]. QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 1994, 34 (04): : 317 - 331
  • [29] Entropy and predictability of stock market returns
    Maasoumi, E
    Racine, J
    [J]. JOURNAL OF ECONOMETRICS, 2002, 107 (1-2) : 291 - 312
  • [30] Predictability of returns in the Chilean stock market
    Walker, E
    [J]. TRIMESTRE ECONOMICO, 2000, 67 (267): : 355 - 394
12345