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

页码：101 / 103

页数：3

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