Another look at long memory in common stock returns |
| |
Authors: | Craig Hiemstra Jonathan D. Jones |
| |
Affiliation: | aDepartment of Accounting and Finance, University of Strathclyde, Glasgow, G4 OLN, UK;bOffice of Economic Analysis, Securities and Exchange Commission, Washington, DC 20549, USA |
| |
Abstract: | We apply the modified rescaled range test to the return series of 1,952 common stocks. The results indicate that long memory is not a widespread characteristic of these stocks. But logit models of the event of a test rejection reveal that rejections are linked to firms with large risk-adjusted average returns. The maximal moment of a return distribution is also found to influence the event of a rejection, but not in a way suggestive of moment-condition failure. Evidence suggestive of survivorship bias is also uncovered. We conclude that there is some evidence consistent with persistent long memory in the returns of a small proportion of stocks. |
| |
Keywords: | Long memory Rescaled range test Moment condition failure Survivorship bias Common stock returns |
本文献已被 ScienceDirect 等数据库收录! |
|