Daily Return Correlations: A Reexamination
Recent empirical findings question the existence of a random walk for security returns. The belief in the random walk hypothesis and weak-form market efficiency, which is still widely espoused, relies heavily on the seminal work of Fama concerning daily return correlation. This study reexamines dail...
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| Veröffentlicht in: | Quarterly journal of business and economics 1989-07, Vol.28 (3), p.122-141 |
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| creator | Pettengill, Glenn N. |
| description | Recent empirical findings question the existence of a random walk for security returns. The belief in the random walk hypothesis and weak-form market efficiency, which is still widely espoused, relies heavily on the seminal work of Fama concerning daily return correlation. This study reexamines daily return correlations using a much longer time period but with a methodology comparable to Fama's. Results presented in this paper show significant correlation in daily equity returns and significant deviation from randomness for the signs of equity returns for all (Dow Jones Industrial Average) securities. Further, simulation analysis shows that today's returns may be used to predict which securities will have abnormally high and abnormally low returns tomorrow. |
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| identifier | ISSN: 0747-5535 |
| ispartof | Quarterly journal of business and economics, 1989-07, Vol.28 (3), p.122-141 |
| issn | 0747-5535 1939-8123 2327-8250 |
| language | eng |
| recordid | cdi_proquest_journals_194762221 |
| source | Jstor Complete Legacy; Periodicals Index Online |
| subjects | Arithmetic mean Correlation coefficients Correlations Data security Economic aspects Economic models Economic theory Financial securities Investment analysis Investors Mathematical analysis Price changes Random walk Random walks (Mathematics) Randomness Return on investment Securities markets Securities returns Stock price forecasting |
| title | Daily Return Correlations: A Reexamination |
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