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Sources of Predictability of European Stock Markets for High-Technology Firms

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  • Christian Pierdzioch
  • Andrea Schertler

Abstract

We study return predictability of stock indexes of blue chip firms and smaller hightechnology firms in Germany, France, and the United Kingdom during the second half of the 1990s. We measure return predictability in terms of first-order autocorrelation coefficients, and find evidence for return predictability of stock indexes of smaller hightechnology firms, but no evidence for return predictability of stock indexes of blue chip firms. Our findings suggest that a leading candidate for explaining the economic sources of return predictability of stock indexes of smaller high-technology firms is transaction

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Bibliographic Info

Paper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1235.

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Length: 38 pages
Date of creation: Jan 2005
Date of revision:
Handle: RePEc:kie:kieliw:1235

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Keywords: Stock markets; Return predictability; High-technology firms;

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Cited by:
  1. Valérie Revest & Sandro Sapio, 2008. "Financing Technology-Based Small Firms in Europe: a review of the empirical evidence," LEM Papers Series 2008/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

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