Returns Predictability and Stock Market Efficiency in Brazil
This paper searches for evidence of predictability in the Brazilian stock market using portfolios grouped by sector and firm size with data from 1999 to 2008. I conduct an automatic variance ratio test using wild bootstrap. This methodology eliminates the arbitrary choice of the holding period as we...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2011-12-01
|
| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/3044 |