Add to ORKGThis 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.Autocorrelation Predictability Market efficiency
In predicting stock market returns, academic research has had its primary focus onmacroeconomic vari...
If returns are not predictable, dividend growth must be predictable, to generate the observed variat...
Using annual data for 1872-1997, this paper re-examines the predictability of real stock prices base...
This article considers stock return predictability and its source using ratios derived from stock pr...
I introduce an index of market return autocorrelation based on the prices of index options and of fo...
This paper explores whether predictable autocorrelation structures exist in returns data on Australi...
We find compelling evidence that stock return autocorrelation is not spurious. Specifically, we fin...
This paper examines the statistical and economic significance of short-term autocorrelation in Austr...
This paper provides strong evidence of time-varying return predictability of the Dow Jones Industria...
Stock return predictability is a central issue in empirical finance. Yet no comprehensive study of i...
Predictability of stock returns has been shown by empirical studies over time. This article collects...
This study examines the adaptive market hypothesis in the S&P500, FTSE100, NIKKEI225 and EURO ST...
This paper evaluates the predictability of monthly stock return using out-of-sample (multi-step ahea...
results contained in this paper are provisional and should not be quoted without the written consent...
This paper re-examines stock returns predictability over the business cycle using price-dividend and...
In predicting stock market returns, academic research has had its primary focus onmacroeconomic vari...
If returns are not predictable, dividend growth must be predictable, to generate the observed variat...
Using annual data for 1872-1997, this paper re-examines the predictability of real stock prices base...
This article considers stock return predictability and its source using ratios derived from stock pr...
I introduce an index of market return autocorrelation based on the prices of index options and of fo...
This paper explores whether predictable autocorrelation structures exist in returns data on Australi...
We find compelling evidence that stock return autocorrelation is not spurious. Specifically, we fin...
This paper examines the statistical and economic significance of short-term autocorrelation in Austr...
This paper provides strong evidence of time-varying return predictability of the Dow Jones Industria...
Stock return predictability is a central issue in empirical finance. Yet no comprehensive study of i...
Predictability of stock returns has been shown by empirical studies over time. This article collects...
This study examines the adaptive market hypothesis in the S&P500, FTSE100, NIKKEI225 and EURO ST...
This paper evaluates the predictability of monthly stock return using out-of-sample (multi-step ahea...
results contained in this paper are provisional and should not be quoted without the written consent...
This paper re-examines stock returns predictability over the business cycle using price-dividend and...
In predicting stock market returns, academic research has had its primary focus onmacroeconomic vari...
If returns are not predictable, dividend growth must be predictable, to generate the observed variat...
Using annual data for 1872-1997, this paper re-examines the predictability of real stock prices base...