Sources of Predictability of European Stock Markets for High-technology Firms
AbstractThe paper reports on studies of return predictability of stock indexes of blue-chip firms and high-technology firms in Germany, France and the UK during the second half of the 1990s. Return predictability was measured in terms of first-order autocorrelation coefficients, and evidence was found for the return predictability of stock indexes of high-technology firms, but not for the return predictability of stock indexes of blue-chip firms. These findings suggest that a candidate for explaining the economic sources of the return predictability of these stock indexes of high-technology firms is transaction costs in the form of the costs of gathering and processing information in new technological fields.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal The European Journal of Finance.
Volume (Year): 13 (2007)
Issue (Month): 1 ()
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Other versions of this item:
- Christian Pierdzioch & Andrea Schertler, 2005. "Sources of Predictability of European Stock Markets for High-Technology Firms," Kiel Working Papers 1235, Kiel Institute for the World Economy.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- N24 - Economic History - - Financial Markets and Institutions - - - Europe: 1913-
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