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Stock return predictability despite low autocorrelation

Lookup NU author(s): Professor Robert Hudson

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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.

Publication metadata

Author(s): Amini S, Hudson R, Keasey K

Publication type: Article

Publication status: Published

Journal: Economics Letters

Year: 2010

Volume: 108

Issue: 1

Pages: 101-103

Print publication date: 25/04/2010

Date deposited: 23/07/2010

ISSN (print): 0165-1765

ISSN (electronic): 1873-7374

Publisher: Elsevier BV

URL: http://dx.doi.org/10.1016/j.econlet.2010.04.031

DOI: 10.1016/j.econlet.2010.04.031

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