Stock return predictability despite low autocorrelation

DOI10.1016/J.ECONLET.2010.04.031zbMath1194.62110OpenAlexW2044447312MaRDI QIDQ991357

Robert Hudson, Kevin Keasey, Shima Amini

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

predictabilityautocorrelationmarket efficiency

Mathematics Subject Classification ID

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

Cites Work

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

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