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Temporary Components of Stock Prices: A Skeptic's View Author info | Abstract | Publisher info | Download info | Related research | Statistics Richardson, Matthew
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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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:199-207Contact details of provider: Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
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