Stock return predictability despite low autocorrelation
AbstractThis 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 108 (2010)
Issue (Month): 1 (July)
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Web page: http://www.elsevier.com/locate/ecolet
Autocorrelation Predictability Market efficiency;
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