Predictability revisited: UK equity returns, 1965-2007

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dc.contributor.authorBowen, David A.
dc.contributor.authorHutchinson, Mark C.
dc.contributor.authorO'Sullivan, Niall
dc.contributor.funderIrish Research Council for Humanities and Social Sciencesen
dc.date.accessioned2014-11-27T13:28:38Z
dc.date.available2014-11-27T13:28:38Z
dc.date.issued2010
dc.date.updated2013-05-29T11:07:01Z
dc.description.abstractThis 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.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationBOWEN, 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.issn0791-9638
dc.identifier.journaltitleIrish Accounting Reviewen
dc.identifier.urihttps://hdl.handle.net/10468/1719
dc.language.isoenen
dc.publisherBlackhall Publishingen
dc.subjectPredictability of equity returnsen
dc.subjectEquitiesen
dc.titlePredictability revisited: UK equity returns, 1965-2007en
dc.typeArticle (peer-reviewed)en
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