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Autocorrelation, Market Imperfections, and the CAPM

Published online by Cambridge University Press:  06 April 2009

Stewart L. Brown
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Extract

There is strong theoretical support for the notion that prices in a perfect capital market will vary randomly ([22], [16]). However, the existence of some nonrandomness in stock prices is well documented, see ([10], [11], [13], [14], [20]). Of special importance for this study is the research by Young [24] who finds predominantly negative autocorrelation for a sample of securities using a monthly differencing interval. Autocorrelation coefficients are often used as a measure of nonrandom price behavior; negative autocorrelation is an indication of price reversals.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 5 , December 1979 , pp. 1027 - 1034
Copyright
Copyright © School of Business Administration, University of Washington 1979

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References

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