Review of Financial Studies
Опубликовано на портале: 25-10-2007Jacob Boudoukh, Matthew Richardson, Robert Whitelaw 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.