We study the autocorrelation in short-horizon returns of individual stocks over the period 1971 to 2008 using pooled … regression with non-parametric estimation. We find continuation for the central 40% of the return distribution (with returns … quartiles of trade activity. The nonlinear relation in return autocorrelation appears to be invariant in the cross-section of …

heavily tailed. Prior to model estimation, the White Neural Network test exposed that the stock price can be modelled by a GAS …

return autocorrelation. But return is more likely to reverse itself on days with continuous trading due to investor … disagreement, leading return autocorrelation to be more negative. Contrarian trading strategies conditional on daily measures of …

return autocorrelation. But return is more likely to reverse itself on days with continuous trading on dispersion in beliefs …, leading return autocorrelation to be more negative. Contrarian trading strategies conditional on daily measures of investment …

We present a new finding that the return autocorrelation of underlying stock is an important determinant of expected … equity option returns. Using an extended Black-Scholes model incorporating the presence of stock return autocorrelation, we … show that expected returns of both call and put options are increasing in return autocorrelation coefficient of the …