Stock return predictability despite low autocorrelation

This paper shows that short horizon stock returns can be predicted to a much greater degree by past price movements than would be anticipated given their low autocorrelation. This raises doubts over the reliability of the autocorrelation statistic as a measure of stock market predictability.

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Year of publication:	2010
Authors:	Amini, Shima ; Hudson, Robert ; Keasey, Kevin
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 108.2010, 1, p. 101-103
Publisher:	Elsevier
Subject:	Autocorrelation Predictability Market efficiency

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008494880