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Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data

384 citations0/0 files storedThe Economic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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Enrique Sentana, Sushil Wadhwani; Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data, The Economic Journal, Volume 102, I

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 1984Stock Prices and Social Dynamics 1983The Price Variability-Volume Relationship on Speculative Markets 1976Studies of stock market volatility changes 1966Some New Stock-Market Indexes

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