Note Short-term predictability of German stock returns

The paper investigates short-horizon individual stock returns; it exhibits statistically and economically significant autocorrelations, which for stock returns have so far been established mainly over long horizons, also for certain daily data, in particular between monday returns and various linear combinations of the previous week's returns.

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Year of publication:	1998-12-14
Authors:	KrÄmer, Walter
Published in:	Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 23.1998, 4, p. 635-639
Publisher:	Department of Economics and Finance Research and Teaching
Subject:	Autocorrelation \| stock returns \| predictability

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Extent:	application/pdf
Type of publication:	Article
Notes:	received: October 1997
Classification:	G14 - Information and Market Efficiency; Event Studies ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005184245