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• W2186583777 abstract "We decompose stock return autocorrelation into spurious components—the nonsynchronous trading effect (NT) and bid-ask bounce (BAB)—and genuine components—partial price adjustment (PPA) and time-varying risk premia (TVRP), using three key ideas: theoretically signing and/or bounding the components; computing returns over disjoint subperiods separated by a trade to eliminate NT and greatly reduce BAB; and dividing the data period into disjoint subperiods to obtain independence for statistical power. We also compute the portion of the autocorrelation that can be unambiguously attributed to PPA. Analyzing daily individual and portfolio return autocorrelations in sixteen years of NYSE intraday transaction data, we find compelling evidence that PPA is a major source of the autocorrelation." @default.
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• W2186583777 date "2011-01-01" @default.
• W2186583777 modified "2023-09-23" @default.
• W2186583777 title "Sources of stock return autocorrelation" @default.
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