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

  • Christian Pierdzioch
  • Andrea Schertler

The 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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Article provided by Taylor & Francis Journals in its journal The European Journal of Finance.

Volume (Year): 13 (2007)
Issue (Month): 1 ()
Pages: 1-27

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Handle: RePEc:taf:eurjfi:v:13:y:2007:i:1:p:1-27
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