Predictability revisited: UK equity returns, 1965-2007

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dc.contributor.author Bowen, David A.
dc.contributor.author Hutchinson, Mark C.
dc.contributor.author O'Sullivan, Niall
dc.date.accessioned 2014-11-27T13:28:38Z
dc.date.available 2014-11-27T13:28:38Z
dc.date.issued 2010
dc.identifier.citation BOWEN, D. A., HUTCHINSON, M. C. & O'SULLIVAN, N. 2010. Predictability revisited: UK equity returns, 1965-2007. Irish Accounting Review, 17, 1-20. en
dc.identifier.issn 0791-9638
dc.identifier.uri http://hdl.handle.net/10468/1719
dc.description.abstract This study tests a large sample of UK equity returns from 1965 to 2007 for predictability. Returns are tested using the Lo and MacKinlay (1988) variance ratio test and the Chow and Denning (1993) multiple variance ratio tests. Overall, the results show strong signs of predictability. There is a size effect, in which small equities appear more predictable in the first half of the sample (1965–1985), and mid- to large-size equities appear more predictable in the second half of the sample (1986–2007). en
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.publisher Blackhall Publishing en
dc.subject Predictability of equity returns en
dc.subject Equities en
dc.title Predictability revisited: UK equity returns, 1965-2007 en
dc.type Article (peer-reviewed) en
dc.internal.authorcontactother Niall O'Sullivan, Economics, University College Cork, Cork, Ireland. +353-21-490-3000 Email: niall.osullivan@ucc.ie en
dc.internal.availability Full text available en
dc.date.updated 2013-05-29T11:07:01Z
dc.description.version Accepted Version en
dc.internal.rssid 68957659
dc.contributor.funder Irish Research Council for Humanities and Social Sciences en
dc.description.status Peer reviewed en
dc.identifier.journaltitle Irish Accounting Review en
dc.internal.copyrightchecked Yes I have permission from the editor as long as I use the journal version. !!CORA!! Permission arranged by author. en
dc.internal.licenseacceptance Yes en
dc.internal.IRISemailaddress niall.osullivan@ucc.ie en


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