Fiorentini, Gabriele; Iváñez, Enrique Sentana - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1997
are very close to white noise, while expected returns are well represented by an AR(l) process with a firstorder … autocorrelation of .9755. We also find that small unexpected variations in expected returns have a large negative immediate impact on … observed returns, which is thereafter compensated by a slowly diminishing positive effect on expected returns. …