Short-Term Predictability of German Stock Returns
Posted: 30 Dec 1998
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: Suggested Citation