... where p is the first order serial correlation of the factor portfolio returns. ... the months t - 6 through
t - 1. The esti- mates of 0 and the corresponding autocorrelation-consistent t ... 9 This reliably negative
relation between the relative strength profits and lagged squared market returns is ...

... 309-327. [11] Schwartz, RA, and DK Whitcomb. "The Time-Variance Relationship: Evidence on
Autocorrelation in Common Stock Returns." Journal of Finance (March 1977), pp. 41-55. [12] .
"Evidence on the Presence and Causes of Serial Correlation in Market Model Residuals ...

... Otherwise, the market is relatively stable. 3. Autocorrelation analysis of the return series It is now
well established that the stock market returns themselves contain little serial correlation [Fama
(1970), Taylor (1986)] which is in agreement with the efficient market theory. ...

Abstract: Listed companies in China upon meeting certain requirements can issue two types
of shares: A shares and B shares. Local investors in China can only buy and sell A shares,
while foreign investors can only trade B shares. We argue that foreign investors may ...

The theoretical portfolio autocorrelation due solely to nonsynchronous trading is estimated
from a derived model. This estimated level is found to be substantially less than that
observed empirically. The theoretical and empirical relationship between portfolio size ...

Abstract Recent evidence reveals significant negative serial correlation in aggregate (market-
wide) stock returns. We extend this result to relative (market-adjusted) returns,
demonstrating negative serial correlation in five-year returns. We then test two competing ...

... that have per- formed well.2 Selling the "winners" and buying the "losers" will earn positive
expected profits in the presence of negative serial correlation because current ... Contrarian Profits
and Stock Market Overreaction Table 2 Averages of autocorrelation coefficients for ...

... The Effective Bid-Ask Spread in an Efficient Market ... But observed autocorrelation coefficients may
be small because the covariance is divided by the sample ... new information component in the
observed sample variance results in small observed serial correlation coefficients. ...

... autocorrelations have a standard error of 1/ 597 .042 on the null hypothesis of zero autocorrelation. ...
Even if 2u = .10, So that all the variance in market returns is spurious, and U2 = 0 ... If, as is plausible,
the serial correlation in valuation errors is greater, the power of standard tests ...