@techreport{Pierdzioch2004Feedback,
abstract = {I use a time-varying parameter model in order to study the predictability of monthly real
stock returns in Germany over the period 1880?1913. I find that the extent to which
returns were predictable underwent significant changes over time. Specifically,
predictability of returns, as measured by their first-order autocorrelation coefficient, was
positive most of the time. It tended to be significant during extended periods of stock
market decline, but not during periods of stock market increase. I argue that this timepattern
of predictability of returns is consistent with feedback effects of futures trading
on the spot market.},
address = {Kiel},
author = {Christian Pierdzioch},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G14; N24; 330; Stock market; Return Predictability; Germany; B\"{o}rsenkurs; Kapitalertrag; Zeitreihenanalyse; Sch\"{a}tzung; Deutschland},
language = {eng},
number = {1213},
publisher = {Kiel Institute for the World Economy (IfW)},
title = {Feedback Trading and Predictability of Stock Returns in Germany, 1880?1913},
type = {Kieler Arbeitspapiere},
url = {http://hdl.handle.net/10419/17763},
year = {2004}
}
