Evidence of Predictable Behavior of Security Returns
发现个股月度收益存在显著的负一阶自相关和长滞后期的正自相关，基于此预测收益并构建十组投资组合，极端组合月异常收益差达2.49%。
This paper presents new empirical evidence of predictability of individual stock returns. The negative first-order serial correlation in monthly stock returns is highly significant. Furthermore, significant positive serial correlation is found at longer lags, and the twelve-month serial correlation is particularly strong. Using the observed systematic behavior of stock returns, one-step-ahead return forecasts are made and ten portfolios are formed from the forecasts. The difference between the abnormal returns on the extreme decile portfolios over the period 1934–1987 is 2.49 percent per month.