| Tekijä: | Boudoukh, J. Richardson, M. Whitelaw, R. |
| Otsikko: | A tale of three schools: insights on autocorrelations of short-horizon stock returns |
| Lehti: | Review of Financial Studies
1994 : FALL, VOL. 7:3, p. 539-573 |
| Asiasana: | STOCK RETURNS FINANCE ECONOMICS |
| Kieli: | eng |
| Tiivistelmä: | This article reexamines the autocorrelation patterns of short-horizon stock returns. The authors document empirical results which imply that these autocorrelations have been overstated in the existing literature. Based on several new insights, the authors provide new support for a market efficiency-based explanation of the evidence. The analysis suggests that institutional factors are the most likely source of the autocorrelation patterns. |
SCIMA