Evidence of Predictable Behavior of Security Returns
Evidence of Predictable Behavior of Security Returns
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DOI：
10.1111/j.1540-6261.1990.tb05110.x
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发表时间：
1990-07
影响因子：
8
通讯作者：
Narasimhan Jegadeesh
中科院分区：
文献类型：
--
作者：
Narasimhan Jegadeesh
本文提出了新的经验证据的可预测性的个股收益。股票月收益率的负一阶序列相关性非常显著。此外，显着的正序列相关性被发现在较长的滞后，和12个月的序列相关性特别强。利用所观察到的股票收益的系统性行为，一步提前回报预测和10个投资组合形成的预测。在1934 ~ 1987年期间，极端十分位组合的异常收益率之差为每月2.49%。版权所有1990年美国金融协会。
This paper presents new empirical evidence of predictability of individual stock returns. The negative first-order serial correlation in monthly stock returns is highly significant. Furthermore, significant positive serial correlation is found at longer lags, and the twelve-month serial correlation is particularly strong. Using the observed systematic behavior of stock return, one-step-ahead return forecasts are made and ten portfolios are formed from the forecasts. The difference between the abnormal returns on the extreme decile portfolios over the period 1934-87 is 2.49 percent per month. Copyright 1990 by American Finance Association.