Title: A Tale of Three Schools: Insights on Autocorrelations of Short Horizon Stock Returns
Abstract: This paper reexamines the autocorrelation patterns of short- horizon stock returns. We document empirical results which imply that these autocorrelations have been overstated in the existing literature. Based on several new insights, we provide support for a market efficiency-based explanation of the evidence. Our analysis suggests institutional factors are the most likely source of the autocorrelation patterns.
Publication Year: 1998
Publication Date: 1998-12-31
Language: en
Type: article
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Cited By Count: 28
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