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A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns

Опубликовано на портале: 25-10-2007
Review of Financial Studies. 1994.  Vol. 7. No. 3. P. 539-573. 
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.

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