Autocorrelation, a statistical measure that evaluates the relationship between a variable’s past and present values, can provide insights into patterns and guide investment decisions. By analyzing how ...
When regression is performed on time series data, the errors may not be independent. Often errors are autocorrelated; that is, each error is correlated with the error ...
Two anomalies that generate continuing interest are the weekend effect and the underperformance of IPOs. Perfect and Peterson (1997) find that IPO returns are negative only on Monday and Tuesday, ...
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