Stock return predictability despite low autocorrelation

Shima Amini, Robert Hudson and Kevin Keasey

Economics Letters, 2010, vol. 108, issue 1, 101-103

Abstract: This paper shows that short horizon stock returns can be predicted to a much greater degree by past price movements than would be anticipated given their low autocorrelation. This raises doubts over the reliability of the autocorrelation statistic as a measure of stock market predictability.

Keywords: Autocorrelation; Predictability; Market; efficiency (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:108:y:2010:i:1:p:101-103

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