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Of shepherds, sheep, and the cross-autocorrelations in equity returns

Abstract:

We present an economic mechanism and supportive empirical evidence for the transmission of information between equity securities first documented by Lo and MacKinlay (1990). It is argued that the past returns on stocks held by informed institutional traders will be positively correlated with the contemporaneous returns on stocks held by noninstitutional uninformed traders. Evidence consistent with this hypothesis is then presented. We document that the returns on the portfolio of stocks with ...

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Publication date:
1995-01-01
URN:
uuid:4d25990d-4481-4094-8e84-a9a1ad5028e7
Local pid:
oai:eureka.sbs.ox.ac.uk:1140

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