1979
DOI: 10.1111/j.1475-6803.1979.tb00029.x
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Earnings Announcements and Auto‐correlation: An Empirical Test

Abstract: Many researchers have noted that for differencing internals longer than a few days, stock returns and return residuals are predominantly negatively auto-correlated, e.g., Cootner [5], Fama [6], Fama and MacBeth [8], Young [11], and more recently Schwartz and Whitcomb [10]. Cootner argues that negative auto-correlation is caused by market participants with different levels of expertise, causing stock prices to vary within "reflecting barriers," around intrinsic values, with reversals occurring at the barriers. … Show more

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