Gębka, Bartosz; Wohar, Mark E. - In: International Review of Financial Analysis 29 (2013) C, pp. 51-61
We empirically analyse the cross-sectional determinants of stock return autocorrelations in the UK in different quantiles of conditional return distributions. Autocorrelations in low quantiles are predominantly positive, whereas those in the remaining quantiles are negative. Autocorrelations in...