A TALE OF 3 SCHOOLS - INSIGHTS ON AUTOCORRELATIONS OF SHORT-HORIZON STOCK RETURNS

Authors
BOUDOUKH J RICHARDSON MP WHITELAW RF
Citation
J. Boudoukh et al., A TALE OF 3 SCHOOLS - INSIGHTS ON AUTOCORRELATIONS OF SHORT-HORIZON STOCK RETURNS, The Review of financial studies, 7(3), 1994, pp. 539-573
Citations number
43
Categorie Soggetti
Business Finance
Journal title
The Review of financial studies → ACNP
ISSN journal
08939454
Volume
7
Issue
3
Year of publication
1994
Pages
539 - 573
Database
ISI
SICI code
0893-9454(1994)7:3<539:ATO3S->2.0.ZU;2-J
Abstract
This article reexamines the autocorrelation patterns of short-horizon stock returns. We document empirical results which imply that these au tocorrelations have been overstated in the existing literature. Based on several new insights, we provide support for a market efficiency-ba sed explanation of the evidence. Our analysis suggests that institutio nal factors are the most likely source of the autocorrelation patterns .