Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/17786
Authors: 
Pierdzioch, Christian
Schertler, Andrea
Year of Publication: 
2005
Series/Report no.: 
Kieler Arbeitspapiere 1235
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 costs.
Subjects: 
Stock markets
Return predictability
High-technology firms
JEL: 
N24
G14
Document Type: 
Working Paper

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