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Short-term predictability of German stock returns (1998)

Krämer, Walter

Springer

Empirical economics 23 (1998), S. 635-639

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Details

ISSN: 1435-8921

Schlagwort(e): Autocorrelation ; stock returns ; predictability ; G14 ; C53

Quelle: Springer Online Journal Archives 1860-2000

Thema: Wirtschaftswissenschaften

Notizen: Abstract The paper investigates short-horizon individual stock returns; it exhibits statistically and economically significant autocorrelations, which for stock returns have so far been established mainly over long horizons, also for certain daily data, in particular between monday returns and various linear combinations of the previous week's returns.

Materialart: Digitale Medien

URL: http://dx.doi.org/10.1007/BF01205998

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