We study return predictability of stock indexes of blue chip firms and smaller hightechnology firms in Germany, France …, and the United Kingdom during the second half of the 1990s. We measure return predictability in terms of first …-order autocorrelation coefficients, and find evidence for return predictability of stock indexes of smaller hightechnology firms, but no …

risk aversion of investors is likely to generate declining aggregate relative risk aversion. This leads to predictability …

show that the days of policy meetings are special days for financial markets. Second, we find that the predictability of …