Hostname: page-component-78c5997874-fbnjt Total loading time: 0 Render date: 2024-11-15T14:56:15.406Z Has data issue: false hasContentIssue false
  • English
  • Français

Autocorrelation, Market Imperfections, and the CAPM

Published online by Cambridge University Press:  06 April 2009

Stewart L. Brown
Get access Rights & Permissions [Opens in a new window]

Extract

There is strong theoretical support for the notion that prices in a perfect capital market will vary randomly ([22], [16]). However, the existence of some nonrandomness in stock prices is well documented, see ([10], [11], [13], [14], [20]). Of special importance for this study is the research by Young [24] who finds predominantly negative autocorrelation for a sample of securities using a monthly differencing interval. Autocorrelation coefficients are often used as a measure of nonrandom price behavior; negative autocorrelation is an indication of price reversals.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 5 , December 1979 , pp. 1027 - 1034
Copyright
Copyright © School of Business Administration, University of Washington 1979

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Bar-Yosef, Sasson, and Kolodny, Richard. “Dividend Policy and Capital Market Theory.” Review of Economics and Statistics (1976), pp. 181–191.Google Scholar
[2]Black, , Fischer, ; Jensen, Michael; and Scholes, Myron. “The Capital Asset Pricing Model: Some Empirical Results.” In Studies in the Theory of Capital Markets, edited by Jensen, Michael. New York: Praeger (1972).Google Scholar
[3]Blume, , Marshall, . “Portfolio Theory: A Step toward Its Practical Application.” Journal of Business (04 1970), pp. 152–173.CrossRefGoogle Scholar
[4]Blume, , Marshall, , and Friend, Irvin. “A New Look at the Capital Asset Pricing Model.” Journal of Finance (03 1973), pp. 19–33.Google Scholar
[5]Chow, , Gregory, C. “Tests of Equality between Sets of Coefficients in Two Linear Regressions.” Econometrica (06 1960), pp. 591–605.CrossRefGoogle Scholar
[6]Cootner, , Paul, . “Stock Prices: Random versus Systematic Changes.” Industrial Management Review (01 1962), pp. 24–45.Google Scholar
[7]Cootner, , Paul, , ed. The Random Character of Stock Market Prices. Cambridge: The M.I.T. Press (1964).Google Scholar
[8]Douglas, , George, W. “Risk in the Equity Markets.” An Empirical Appraisal of Market Efficiency.” Yale Economic Essays (Spring 1969), pp. 3–45.Google Scholar
[9]Fama, , Eugene, F. “The Behavior of Stock Market Prices.” Journal of Business (01 1965), pp. 34–105.Google Scholar
[10]Fama, , Eugene, F., and Blume, Marshall. “Filter Rules and Stock Market Trading Profits.” Journal of Business, Special Supplement (01 1966), pp. 226–241.Google Scholar
[11]Fama, , Eugene, F.; Fisher, Lawrence; Jensen, Michael; and Roll, Richard. “The Adjustment of Stock Prices to New Information.” International Economic Review (02 1969), pp. 1–21.Google Scholar
[12]Fama, , Eugene, F., and McBeth, J.. “Risk, Return, and Equilibrium: Empirical Tests.” Journal of Political Economy (05/06 1973), pp. 607–636.Google Scholar
[13]Jensen, , Michael, C. “The Performance of Mutual Funds in the Period 1945–1964.” Journal of Finance (05 1968), pp. 389–416.CrossRefGoogle Scholar
[14]Jensen, , Michael, C., and Bennington, George A.. “Random Walks and Technical Theories: Some Additional Evidence.” Journal of Finance (1970), pp. 469–482.Google Scholar
[15]Lintner, , John, . “The Valuation of Risk Assets and the Selection of Risks Investments in Stock Portfolios and Capital Budgets.” Review of Economics and Statistics (02 1965), pp. 13–37.Google Scholar
[16]Mandelbrot, , Beniot, . “Forecasts of Future Prices, Unbiased Markets, and Martingale Models.” Journal of Business, Special Supplement (01 1966), pp. 242–255.Google Scholar
[17]Miller, , Merton, , and Scholes, Myron. “Rates of Return in Relation to Risk: A reexamination of Some Recent Findings.” In Studies in the Theory of Capital Markets, edited by Jensen, Michael. New York: Praeger (1972).Google Scholar
[18]Mossin, , Jan, . “Equilibrium in a Capital Asset Market.” Econometrica (05 1968), pp. 215–229.Google Scholar
[19]Neiderhoffer, , Victor, , and Osborne, M.F.M.. “Market Making and Reversal on the Stock Exchange.” Journal of the American Statistical Association (12 1966), pp. 897–916.Google Scholar
[20]Owen, , Joel, . “Analysis of Variance Tests for Local Trends in the Standard and Poors Index.” Journal of Finance (06 1968), pp. 509–514.Google Scholar
[21]Roll, , Richard, . “A Critique of the Asset Pricings Theory's Tests.” Journal of Financial Economics (01 1977), pp. 129–176.Google Scholar
[22]Samuelson, , Paul, A. “Proof That Properly Anticipated Prices Fluctuate Randomly.” Industrial Management Review (Spring 1965), pp. 41–49.Google Scholar
[23]Sharpe, , William, F. “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk.” Journal of Finance (09 1964), pp. 425–427.Google Scholar
[24]Young, , William, E. “Random Walk of Stock Prices: A Test of the Variance-Time Function.” Econometrica (09 1971), pp. 797–812.Google Scholar