Resource title

Sources of Predictability of European Stock Markets for High-Technology Firms

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Resource description

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 evidence for return predictability of stock indexes of blue chip firms. Our findings suggest that a leading candidate for explaining the economic sources of return predictability of stock indexes of smaller high-technology firms is transaction costs.

Resource author

Christian Pierdzioch, Andrea Schertler

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/17786

Resource license

Adapt according to the presented license agreement and reference the original author.