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Note Short-term predictability of German stock returns

Short-term predictability of German stock returns

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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.

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Authors and Affiliations

  1. Department of Statistics, University of Dortmund, D-44221 Dortmund, Germany (e-mail: walterk@amadeus.statistik.uni-dortmund.de), , , , , , DE

    Walter Krämer

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  1. Walter Krämer
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Final version received: October 1997

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Krämer, W. Note Short-term predictability of German stock returns. Empirical Economics 23, 635–639 (1998). https://doi.org/10.1007/s001810050040

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  • DOI: https://doi.org/10.1007/s001810050040

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