Short-Term Predictability of German Stock Returns

Posted: 30 Dec 1998

See all articles by Walter Kraemer

Walter Kraemer

University of Dortmund - Department of Statistics; CESifo (Center for Economic Studies and Ifo Institute)

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.

JEL Classification: G14, C53

Suggested Citation

Kraemer, Walter, Short-Term Predictability of German Stock Returns. Available at SSRN: https://ssrn.com/abstract=143198

Walter Kraemer (Contact Author)

University of Dortmund - Department of Statistics ( email )

D-44221 Dortmund
Germany
0231 755-3125 (Phone)
0231 755-5284 (Fax)

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

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