Stock return predictability despite low autocorrelation

DOI10.1016/J.ECONLET.2010.04.031MaRDI QIDQ991357zbMATH OpenOpenAlexFDO

Authors Shima Amini, Robert Hudson, Kevin Keasey

Publication date 7 September 2010

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2010.04.031

zbMATH Keywords

autocorrelationmarket efficiencypredictability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Empirical properties of asset returns: stylized facts and statistical issues

Cited in

(11)

• The Predictability of Short-Horizon Stock Returns
• Forecasting stock market returns over multiple time horizons
• Two tales of return predictability: the case of Asia-Pacific equity markets
• Secular mean reversion and long-run predictability of the stock market
• Crisis impact on stock market predictability
• Predicting stock price movements from past returns: the role of consistency and tax-loss selling
• Short-horizon return predictability and oil prices
• Predicting Stock Returns Using a Variable Order Markov Tree Model
• A reexamination of stock return predictability
• Penetrating sporadic return predictability
• On the Economic Significance of Stock Return Predictability

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