Berg, Lennart; Lyhagen, Johan - Nationalekonomiska Institutionen, Uppsala Universitet - 1996
The behaviour of Swedish stock returns over short and long run horizons is analysed. Using monthly data from 1919 to 1995 and, weekly and daily data for the 1980s and first part of the 1990s we hardly found any evidence of long run depend-ence. Using three different tests that are robust to...