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A Note on the Predictability of UK Stock Returns

Author

Listed:
  • David Lovatt
  • Andrew Boswell
  • Reza Noor

Abstract

This note presents evidence on the predictability of UK stock returns using a database of companies in the FTSE-Allshare Index newly constructed towards the beginning of 1998. The tests used are autocorrelations at various lags and variance ratios for several aggregations of base observations. The evidence is consistent with that published for US stock returns, namely that daily stock returns contain a strong element of predictability.

Suggested Citation

  • David Lovatt & Andrew Boswell & Reza Noor, 2007. "A Note on the Predictability of UK Stock Returns," The European Journal of Finance, Taylor & Francis Journals, vol. 13(2), pages 159-164.
    • Handle: RePEc:taf:eurjfi:v:13:y:2007:i:2:p:159-164
    DOI: 10.1080/13518470500378107
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    References listed on IDEAS

    as
    1. Chow, K. Victor & Denning, Karen C., 1993. "A simple multiple variance ratio test," Journal of Econometrics, Elsevier, vol. 58(3), pages 385-401, August.
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