A Note on the Predictability of UK Stock Returns

David Lovatt, Andrew Boswell and Reza Noor

The European Journal of Finance, 2007, vol. 13, issue 2, 159-164

Abstract: This note presents evidence on the predictability of UK stock returns using a database of companies in the FTSE-Allshare Index newly constructed towards the beginning of 1998. The tests used are autocorrelations at various lags and variance ratios for several aggregations of base observations. The evidence is consistent with that published for US stock returns, namely that daily stock returns contain a strong element of predictability.

Keywords: UK daily stock returns; autocorrelations; variance ratios (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/13518470500378107 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:2:p:159-164

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

DOI: 10.1080/13518470500378107

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 ().