Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/15/2/655/5464891/150655.pdf
Reference40 articles.
1. Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns
2. Biases in computed returns
3. Is the ex ante risk premium always positive?
4. A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns
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