A TALE OF 3 SCHOOLS - INSIGHTS ON AUTOCORRELATIONS OF SHORT-HORIZON STOCK RETURNS

被引：142

作者：

BOUDOUKH, J ^{[1
]}

RICHARDSON, MP ^{[1
]}

WHITELAW, RF ^{[1
]}

机构：

[1] UNIV PENN,PHILADELPHIA,PA 19104

来源：

REVIEW OF FINANCIAL STUDIES | 1994年 / 7卷 / 03期

关键词：

D O I：

10.1093/rfs/7.3.539

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This article 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 that institutional factors are the most likely source of the autocorrelation patterns.

引用

页码：539 / 573

页数：35

共 43 条

[11] COMPONENTS OF SHORT-HORIZON INDIVIDUAL SECURITY RETURNS [J].