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A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns

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Author Info
Boudoukh, Jacob
Richardson, Matthew P
Whitelaw, Robert F
Abstract

This article reexamines the autocorrelation patterns of short-horizon stock returns. We document empirical results which imply that these autocorrelations have been overstated in the existing literature. Based on several new insights, we provide support for a market efficiency-based explanation of the evidence. Our analysis suggests that institutional factors are the most likely source of the autocorrelation patterns. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

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Article provided by Oxford University Press for Society for Financial Studies in its journal Review of Financial Studies.

Volume (Year): 7 (1994)
Issue (Month): 3 ()
Pages: 539-73
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Handle: RePEc:oup:rfinst:v:7:y:1994:i:3:p:539-73

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  1. Simon Gervais & Ron Kaniel & Dan Mingelgrin, . "The High Volume Return Premium," Rodney L. White Center for Financial Research Working Papers 1-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    Other versions:
  2. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-040, New York University, Leonard N. Stern School of Business-. [Downloadable!]
  3. Silvio John Camilleri & Christopher J. Green, 2005. "An Analysis of the Impacts of Non-Synchronous Trading On," Finance 0504020, EconWPA. [Downloadable!]
  4. Eli Ofek & Matthew Richardson, 2001. "DotCom Mania: The Rise and Fall of Internet Stock Prices," NBER Working Papers 8630, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 1999. "Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns," NBER Working Papers 7214, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. George Milunovich, 2006. "Information Spillovers and Size-sorted Portfolios: Structural Evidence from Australia," Research Papers 0610, Macquarie University, Department of Economics. [Downloadable!]
  7. Ming-Shiun Pan & L. Hsueh, 1998. "Transmission of Stock Returns and Volatility between the U.S. and Japan: Evidence from the Stock Index Futures Markets," Asia-Pacific Financial Markets, Springer, vol. 5(3), pages 211-225, November. [Downloadable!] (restricted)
  8. Säfvenblad, Patrik, 1997. "Learning the True Index Level: Index Return Autocorrelation in an REE Auction Market," Working Paper Series in Economics and Finance 190, Stockholm School of Economics. [Downloadable!]
  9. Tokuo Iwaisako, 2004. "Stock Index Autocorrelation and Cross-autocorrelations of Size-sorted Portfolios in the Japanese Market," Discussion Paper Series a448, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  10. Mazumder, M. Imtiaz & Miller, Edward M. & Varela, Oscar Albert, 2005. "The weekend trading profitability: evidence from international mutual funds," Working Papers 2004-10, University of New Orleans, Department of Economics and Finance. [Downloadable!]
  11. Säfvenblad, Patrik, 1997. "Trading Volume and Autocorrelation: Empirical Evidence from the Stockholm Stock Exchange," Working Paper Series in Economics and Finance 191, Stockholm School of Economics. [Downloadable!]
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