Temporary Components of Stock Prices: A Skeptic's View
质疑了多年度股票收益序列相关估计中发现的U型模式，认为这些模式在序列独立的零假设下也会出现，因此不能证明股票价格存在暂时成分。
Recent empirical work has uncovered U-shaped patterns of large magnitude in the serial-correlation estimates of multiyear stock returns. The current literature in finance has taken this evidence to mean that there exists a temporary component of stock prices. This article provides an alternative explanation regarding these findings. Specifically, we show that the patterns in serial-correlation estimates and their magnitude observed in previous studies should be expected under the null hypothesis of serial independence.