Sources of Predictability of European Stock Markets for High-Technology Firms
AbstractWe 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 InfoPaper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1235.
Length: 38 pages
Date of creation: Jan 2005
Date of revision:
Stock markets; Return predictability; High-technology firms;
Other versions of this item:
- Christian Pierdzioch & Andrea Schertler, 2007. "Sources of Predictability of European Stock Markets for High-technology Firms," The European Journal of Finance, Taylor & Francis Journals, vol. 13(1), pages 1-27.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- N24 - Economic History - - Financial Markets and Institutions - - - Europe: 1913-
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-02-06 (All new papers)
- NEP-EEC-2005-02-06 (European Economics)
- NEP-FIN-2005-02-06 (Finance)
- NEP-FMK-2005-02-06 (Financial Markets)
- NEP-RMG-2005-02-06 (Risk Management)
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