Note
Short-term predictability of German stock returns |
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Authors: | Walter Krämer |
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Institution: | (1) Department of Statistics, University of Dortmund, D-44221 Dortmund, Germany |
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Abstract: | The paper investigates short-horizon individual stock returns; it exhibits statistically and economically significant autocorrelations, which for stock returns have so far been established mainly over long horizons, also for certain daily data, in particular between monday returns and various linear combinations of the previous week's returns.Research supported by Deutsche Forschungsgemeinschaft (DFG); I am grateful to Ralf Runde for preparing the data and to Gerd Ronning and an anonymous referee for helpful criticism and comments. |
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Keywords: | Autocorrelation stock returns predictability |
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