We used a recursive modeling approach to study whether investors, in real time could, have used information on the comovement of stock markets to forecast stock returns in European stock markets for high-technology firms. We analyzed weekly data on returns in the Neuer Markt, the Nouveau...

The paper reports on studies of return predictability of stock indexes of blue-chip firms and high-technology firms in Germany, France and the UK during the second half of the 1990s. Return predictability was measured in terms of first-order autocorrelation coefficients, and evidence was found...