A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns
- 1 July 1994
- journal article
- research article
- Published by Oxford University Press (OUP) in The Review of Financial Studies
- Vol. 7 (3) , 539-573
- https://doi.org/10.1093/rfs/7.3.539
Abstract
This article 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 that institutional factors are the most likely source of the autocorrelation patterns.Keywords
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