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The generality of spurious predictability

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  • Cho, Jin-Wan
  • Shin, Jhinyoung
  • Singh, Rajdeep

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  • Cho, Jin-Wan & Shin, Jhinyoung & Singh, Rajdeep, 2004. "The generality of spurious predictability," Finance Research Letters, Elsevier, vol. 1(4), pages 203-214, December.
    • Handle: RePEc:eee:finlet:v:1:y:2004:i:4:p:203-214
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    References listed on IDEAS

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    1. Lo, Andrew W & MacKinlay, A Craig, 1990. "When Are Contrarian Profits Due to Stock Market Overreaction?," The Review of Financial Studies, Society for Financial Studies, vol. 3(2), pages 175-205.
    2. Chan, Kalok, 1993. "Imperfect Information and Cross-Autocorrelation among Stock Prices," Journal of Finance, American Finance Association, vol. 48(4), pages 1211-1230, September.
    3. Subrahmanyam, Avanidhar, 1991. "A Theory of Trading in Stock Index Futures," The Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 17-51.
    4. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    5. Jegadeesh, Narasimhan & Titman, Sheridan, 1995. "Overreaction, Delayed Reaction, and Contrarian Profits," The Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 973-993.
    6. Kawaller, Ira G & Koch, Paul D & Koch, Timothy W, 1987. "The Temporal Price Relationship between S&P 500 Futures and the S and P 500 Index," Journal of Finance, American Finance Association, vol. 42(5), pages 1309-1329, December.
    7. Chan, Kalok & Chan, K C & Karolyi, G Andrew, 1991. "Intraday Volatility in the Stock Index and Stock Index Futures Markets," The Review of Financial Studies, Society for Financial Studies, vol. 4(4), pages 657-684.
    8. Chan, Kalok, 1992. "A Further Analysis of the Lead-Lag Relationship between the Cash Market and Stock Index Futures Market," The Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 123-152.
    9. Stoll, Hans R. & Whaley, Robert E., 1990. "The Dynamics of Stock Index and Stock Index Futures Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(4), pages 441-468, December.
    10. Cho, Jin-Wan & Shin, Jhinyoung & Singh, Rajdeep, 1999. "Endogenous informed trading in the presence of trading costs: Theory and evidence," Journal of Financial Markets, Elsevier, vol. 2(3), pages 273-305, August.
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    Cited by:

    1. Säfvenblad, Patrik, 1997. "Lead-Lag Effects When Prices Reveal Cross-Security Information," SSE/EFI Working Paper Series in Economics and Finance 189, Stockholm School of Economics.
    2. Cho, Jin-Wan & Shin, Jhinyoung & Singh, Rajdeep, 1999. "Endogenous informed trading in the presence of trading costs: Theory and evidence," Journal of Financial Markets, Elsevier, vol. 2(3), pages 273-305, August.

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