Jirasakuldech, B.; Emekter, Riza; Lee, Unro - In: Applied Financial Economics 18 (2008) 8, pp. 659-672
If security returns are predictable due to rational variations in expected returns, as been argued by Fama and French (1989), then abnormal returns should follow a random walk process. This article investigates whether monthly abnormal returns on four US securities - high-grade corporate bonds,...