Which of the following is NOT a piece of evidence for the investor underreaction? OA The stock market index excess returns are positively autocorrelated at the monthly frequency. O B. Stocks with higher returns in the last six months tend to ean higher returns in the future. OC The stock market index excess returns are negatively autocorrelated at the three to five year horizons. O D. Stocks with higher standardized unexpected earnings tend to earn higher returns in the future.
Which of the following is NOT a piece of evidence for the investor underreaction? OA The stock market index excess returns are positively autocorrelated at the monthly frequency. O B. Stocks with higher returns in the last six months tend to ean higher returns in the future. OC The stock market index excess returns are negatively autocorrelated at the three to five year horizons. O D. Stocks with higher standardized unexpected earnings tend to earn higher returns in the future.
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 19P
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