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Abstract

The world of finance has changed a lot during the past decades. Empirical research and sophisticated econometric tests have revealed new insights into how financial markets work. Modern Portfolio Theory has been enriched with a multi factor perspective leading to more complexity and accuracy at the same time. Moreover, market efficiency and stock return predictability do not seem to be purely contrasting ideas anymore. However, the ultimate answer to the question whether stock returns are predictable or not and how possible return predictability is linked to market efficiency and the real economy has not been found so far. With this work I seek to contribute to this field of research.

Keywords

Stock Return Serial Correlation Investment Strategy Market Efficiency Random Walk Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Gabler | GWV Fachverlage GmbH 2010

Authors and Affiliations

  • Patrick Scheurle

There are no affiliations available

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