Lovatt, David; Boswell, Andrew; Noor, Reza - In: The European Journal of Finance 13 (2007) 2, pp. 159-164
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....