Predictable Risk and Returns in Emerging Markets
نویسندگان
چکیده
منابع مشابه
Long Memory in Stock Returns: A Study of Emerging Markets
The present study aimed at investigating the existence of long memory properties in ten emerging stock markets across the globe. When return series exhibit long memory, it indicates that observed returns are not independent over time. If returns are not independent, past returns can help predict future returns, thereby violating the market efficiency hypothesis. It poses a serious challenge to ...
متن کاملlong memory in stock returns: a study of emerging markets
the present study aimed at investigating the existence of long memory properties in ten emerging stock markets across the globe. when return series exhibit long memory, it indicates that observed returns are not independent over time. if returns are not independent, past returns can help predict future returns, thereby violating the market efficiency hypothesis. it poses a serious challenge to ...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 1995
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/8.3.773