This study seeks to understand whether and to what extent High Frequency Trading (HFT) affects the probabilistic properties of the stock returns in five markets. More specifically, it focuses on the impact of HFT/machine trading on five major stock indices, DAX, Nikkei 225, S&P 500, Russell...

We estimate global return autocorrelation by using the quantile autocorrelation model and investigate its determinants across 43 stock markets from 1980 to 2013. Although our results document a decline in autocorrelation across the entire sample period for all countries, return autocorrelation...

Accurately calculated historical returns are critical inputs for investment decisions. We document that data vendors' adjustments to historical prices for dividends and stock splits result in inaccurate estimations of historical returns. We demonstrate several techniques that can be used to...

This study seeks to understand whether and to what extent High Frequency Trading (HFT) affects the probabilistic properties of the stock returns in five markets. More specifically, it focuses on the impact of HFT/Machine trading on five major stock indices, DAX, Nikkei 225, S&P 500, Russell...