A Note on the Predictability of UK Stock Returns

This note presents evidence on the predictability of UK stock returns using a database of companies in the FTSE-Allshare Index newly constructed towards the beginning of 1998. The tests used are autocorrelations at various lags and variance ratios for several aggregations of base observations. The evidence is consistent with that published for US stock returns, namely that daily stock returns contain a strong element of predictability.

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Year of publication:	2007
Authors:	Lovatt, David ; Boswell, Andrew ; Noor, Reza
Published in:	The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 13.2007, 2, p. 159-164
Publisher:	Taylor & Francis Journals
Subject:	UK daily stock returns \| autocorrelations \| variance ratios

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005438070