AUTOCORRELATION IN MARKET MODEL RESIDUALS
研究市场模型残差的自相关如何影响贝塔（市场风险）的估计，发现负自相关普遍存在，尤其影响交易量小和价格低的股票，修正自相关会显著改变贝塔估计值。
Autocorrelation in market model residuals affects the estimate of market risk measured by beta. Correction for autocorrelation can substantially change the estimate of beta for some common stocks. In view of the importance of beta estimates in financial research and investment practice, an examination is undertaken in this paper of the prevalence of autocorrelation and two of its causes. The evidence indicates that negative autocorrelation affects estimates of beta for a large number of stocks. In addition, negative autocorrelation is most prevalent among thinly traded and low‐priced stocks.