A Tale of Three Schools: Insights on Autocorrelations of Short Horizon Stock Returns
REVIEW OF FINANCIAL STUDIES Vol. 7, No. 3, 1994
Posted: 31 Dec 1998
This paper reexamines the autocorrelation patterns of short- horizon stock returns. We document empirical results which imply that these autocorrelations have been overstated in the existing literature. Based on several new insights, we provide support for a market efficiency-based explanation of the evidence. Our analysis suggests institutional factors are the most likely source of the autocorrelation patterns.
JEL Classification: G12
Suggested Citation: Suggested Citation