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https://ptsldigital.ukm.my/jspui/handle/123456789/454343Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Gaunt, Clive | - |
| dc.contributor.author | Gray, Philip | - |
| dc.date.accessioned | 2023-08-29T09:14:53Z | - |
| dc.date.available | 2023-08-29T09:14:53Z | - |
| dc.identifier.uri | https://ptsldigital.ukm.my/jspui/handle/123456789/454343 | - |
| dc.description.abstract | This paper examines the statistical and economic significance of short-term autocorrelation in Australian equities. We document large negative first-order autocorrelation m individual stock returns. This autocorrelation appears to be economically significant. Two simple trading strategies based on the autocorrelation structure yield large risk-adjusted returns. | en_US |
| dc.language.iso | en | en_US |
| dc.subject | Autocorrelation | en_US |
| dc.subject | Random walk hypothesis | en_US |
| dc.subject | Market efficiency | en_US |
| dc.title | Short-term autocorrelation in Australian equities | en_US |
| dc.type | Seminar Papers | en_US |
| dc.format.pages | 12 | en_US |
| dc.identifier.callno | HG4026.A536 2001 katsem | en_US |
| dc.contributor.conferencename | The thirteenth Annual PACAP/FMA Finance Conference | - |
| dc.coverage.conferencelocation | Westin Chosun Hotel, Seoul, Korea | - |
| dc.coverage.conferencelocation | Radisson Plaza Hotel, Seoul, Korea | - |
| dc.date.conferencedate | 2001-07-05 | - |
| Appears in Collections: | Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding | |
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