Stock return autocorrelations revisited: A quantile regression approach

Journal of Empirical Finance

Volumn 19, Issue 2, 2012, Pages 254-265

  Baur, Dirk G ^a   Dimpfl, Thomas ^b   Jung, Robert C ^c  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^b UNIVERSITY OF TÜBINGEN   (Germany)

^c UNIVERSITY OF ERFURT   (Germany)

Author keywords

Overreaction and underreaction; Quantile autoregression; Stock return distribution

Indexed keywords

EID: 84857653611     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2011.12.002     Document Type: Article

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