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Note Short-term predictability of German stock returns

Author

Listed:
  • Walter KrÄmer

    (Department of Statistics, University of Dortmund, D-44221 Dortmund, Germany)

Abstract

The paper investigates short-horizon individual stock returns; it exhibits statistically and economically significant autocorrelations, which for stock returns have so far been established mainly over long horizons, also for certain daily data, in particular between monday returns and various linear combinations of the previous week's returns.

Suggested Citation

  • Walter KrÄmer, 1998. "Note Short-term predictability of German stock returns," Empirical Economics, Springer, vol. 23(4), pages 635-639.
    • Handle: RePEc:spr:empeco:v:23:y:1998:i:4:p:635-639
    Note: received: October 1997
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    Citations

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    Cited by:

    1. Majumder, Debasish, 2012. "When the market becomes inefficient: Comparing BRIC markets with markets in the USA," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 84-92.
    2. Majumder, Debasish, 2013. "Towards an efficient stock market: Empirical evidence from the Indian market," Journal of Policy Modeling, Elsevier, vol. 35(4), pages 572-587.

    More about this item

    Keywords

    Autocorrelation · stock returns · predictability;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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