Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2004
I use a time-varying parameter model in order to study the predictability of monthly real stock returns in Germany over …. Specifically, predictability of returns, as measured by their first-order autocorrelation coefficient, was positive most of the … increase. I argue that this time-pattern of predictability of returns is consistent with feedback effects of futures trading on …