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

Jacob Boudoukh; Matthew Richardson; ROBERT F. WHI℡AW

doi:10.1093/rfs/7.3.539

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

Jacob Boudoukh¹; Matthew Richardson^2,3; ROBERT F. WHI℡AW¹

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

Review of Financial Studies 1994

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 (3)
Pages: 539-573
Language: en
Export: BibTeX
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