| Author: | MacDonald, R. Power, D. |
| Title: | Persistence in UK stock market returns: some evidence using high-frequency data. |
| Journal: | Journal of Business Finance and Accounting
1992 : JUN, VOL. 19:4, p. 505-514 |
| Index terms: | UNITED KINGDOM STOCK RETURNS STOCK MARKETS FINANCIAL MODELS |
| Language: | eng |
| Abstract: | A number of mainly US-based articles have indicated that share returns may be predictable over both short and long time spans. This paper focuses on the former, using weekly share returns for a sample of UK companies, and undertakes a number of tests for predictability. The results suggest that UK share returns contain a short-term predictable component which is especially pronounced for the shares of smaller companies. The trading strategy designed to exploit any mean-reverting tendencies in share returns underperforms relative to the market. |
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