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Temporary Components of Stock Prices: A Skeptic's View

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Author Info
Richardson, Matthew
Abstract

Recent empirical work has uncovered.U-shaped patterns of large magnitude in the serial-correlation estimates of multiyear stock returns. The current literature in finance has taken this evidence to mean that there exists a temporary component of sto ck prices. This article provides an alternative explanation regarding these findings. Specifically, the author shows that the patterns in serial-correlation estimates and their magnitude observed in previou s studies should be expected under the null hypothesis of serial independence.

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Publisher Info
Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 11 (1993)
Issue (Month): 2 (April)
Pages: 199-207
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Handle: RePEc:bes:jnlbes:v:11:y:1993:i:2:p:199-207

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