Publication
Jan 2005
This paper examines return predictability of stock indexes of blue chip firms and smaller high-technology firms in Germany, France and the UK during the second half of the 1990s. The authors find evidence for return predictability of stock indexes of smaller high-technology firms, but none for blue chip firms. They argue that the leading factor for explaining the economic sources of the return predictability of stock indexes of smaller high-technology firms is transaction costs.
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English (PDF, 37 pages, 909 KB) |
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Author | Christian Pierdzioch, Andrea Schertler |
Series | Kiel Institute Working Papers |
Issue | 1235 |
Publisher | Kiel Institute for the World Economy |
Copyright | © 2005 Kiel Institute for the World Economy |