Kiel Working Papers, Kiel Institute for World Economics
No 1235:
Sources of Predictability of European Stock Markets for High-Technology Firms
Christian Pierdzioch and Andrea Schertler
Abstract: 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
Keywords: Stock markets; Return predictability; High-technology firms; (follow links to similar papers)
JEL-Codes: G14,; N24; (follow links to similar papers)
38 pages, January 2005
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