@ARTICLE{19128432_1993,
    author = {Mech, Timothy S.}, 
    keywords = {autocorrelation, market efficiency, microstructure, mispricing, portfolio},
    title = {Portfolio Return Autocorrelation},
    journal = {Journal of Financial Economics},
    year = {1993},
    month = {},
    volume = {34},
    number = {3},
    pages = {307-334},
    url = {http://ecsocman.hse.ru/text/19128432/},
    publisher = {},
    language = {ru},
    abstract = {This paper investigates whether portfolio return autocorrelation can 
be explained by time-varying expected returns, nontrading, stale 
limit orders, market maker inventory policy, or transaction costs. 
Evidence is consistent with the hypothesis that transaction costs 
cause portfolio autocorrelation by slowing price adjustment. I 
develop a transaction-cost model which predicts that prices adjust 
faster when changes in valuation are large in relation to the bid-ask 
spread. Cross-sectional tests support this prediction, but 
time-series tests do not. },
    annote = {This paper investigates whether portfolio return autocorrelation can 
be explained by time-varying expected returns, nontrading, stale 
limit orders, market maker inventory policy, or transaction costs. 
Evidence is consistent with the hypothesis that transaction costs 
cause portfolio autocorrelation by slowing price adjustment. I 
develop a transaction-cost model which predicts that prices adjust 
faster when changes in valuation are large in relation to the bid-ask 
spread. Cross-sectional tests support this prediction, but 
time-series tests do not. }
}