Sources of Predictability of European Stock Markets for High-technology Firms

Christian Pierdzioch and Andrea Schertler ()

The European Journal of Finance, 2007, vol. 13, issue 1, 1-27

Abstract: The paper reports on studies of return predictability of stock indexes of blue-chip firms and high-technology firms in Germany, France and the UK during the second half of the 1990s. Return predictability was measured in terms of first-order autocorrelation coefficients, and evidence was found for the return predictability of stock indexes of high-technology firms, but not for the return predictability of stock indexes of blue-chip firms. These findings suggest that a candidate for explaining the economic sources of the return predictability of these stock indexes of high-technology firms is transaction costs in the form of the costs of gathering and processing information in new technological fields.

Keywords: Stock markets; return predictability; high-technology firms (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/13518470600762408 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Sources of Predictability of European Stock Markets for High-Technology Firms (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:13:y:2007:i:1:p:1-27

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/REJF20

DOI: 10.1080/13518470600762408

Access Statistics for this article

The European Journal of Finance is currently edited by Chris Adcock

More articles in The European Journal of Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().