PORTFOLIO RETURN AUTOCORRELATION

• 成果类型: Article
• 署名作者: MECH, TS
• 署名单位: University of Rochester
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(93)90030-F
• 发表日期: 1993
• 页码: 307-344
• 关键词: autocorrelation; EFFICIENCY; microstructure; Mispricing; portfolio

摘要

This paper investigates whether portfolio return autocorrelation can be explained by time-varying expected returns, nontrading, stale limit orders, market maker inventory policy, or transaction costs. Evidence is consistent with the hypothesis that transaction costs cause portfolio autocorrelation by slowing price adjustment. I develop a transaction-cost model which predicts that prices adjust faster when changes in valuation are large in relation to the bid-ask spread. Cross-sectional tests support this prediction, but time-series tests do not.