A Note on the Predictability of UK Stock Returns |
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| Authors: | David Lovatt Andrew Boswell Reza Noor |
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| Institution: | 1. School of Management LovattD@aol.com;3. IT and Computing Services , University of East Anglia , Norwich, UK;4. School of Management |
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| Abstract: | This note presents evidence on the predictability of UK stock returns using a database of companies in the FTSE-Allshare Index newly constructed towards the beginning of 1998. The tests used are autocorrelations at various lags and variance ratios for several aggregations of base observations. The evidence is consistent with that published for US stock returns, namely that daily stock returns contain a strong element of predictability. |
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| Keywords: | UK daily stock returns autocorrelations variance ratios |
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