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A tale of three schools: insights on autocorrelations of short-horizon stock returns |
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| Authors: | Boudoukh J; Richardson MP; Whitelaw RE |
| Institution: | 1 Stern School of Business, 44 West 4th Street, Suite 9-160,, New York, NY 10012-1126, USA 2 University of Pennsylvania, USA 3 New York University, USA z Corresponding author |
| Abstract: | This article reexamines the autocorrelation patterns of short-horizonstock returns. We document empirical results which imply thatthese autocorrelations have been overstated in the existingliterature. Based on several new insights, we provide supportfor a market efficiency-based explanation of the evidence. Ouranalysis suggests that institutional factors are the most likelysource of the autocorrelation patterns. |
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