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Review of Financial Studies Vol. 7 No. 3 1994

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

Jacob Boudoukh1; Matthew Richardson2,3; ROBERT F. WHI℡AW1

1 New York University · 2 California University of Pennsylvania · 3 University of Pennsylvania

Abstract

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.

DOI
10.1093/rfs/7.3.539
Volume
7
Issue
3
Pages
539-573
Language
en
Sources
openalex crossref

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