Note Short-term predictability of German stock returns

Walter Krämer

Empirical Economics, 1998, vol. 23, issue 4, 635-639

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.

Keywords: Autocorrelation; ·; stock; returns; ·; predictability (search for similar items in EconPapers)
JEL-codes: C53 G14 (search for similar items in EconPapers)
Date: 1998-12-14
Note: received: October 1997
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Citations: View citations in EconPapers (2)

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