Serial correlation
A)indicates a reversal in the direction of returns when the coefficient is positive.
B)involves the relationship of one stock's returns over various time periods.
C)indicates a tendency toward reversal when its coefficient is positive.
D)measures the cumulative difference between the returns on two similar securities.
E)measures the current relationship between the returns on two securities.

Question

Quizplus · Accepted Answer

Serial correlation refers to the relationship between a stock's returns over different time periods. It is also known as autocorrelation. It measures how closely the past values of a time series are related to its current or future values. If there is a positive serial correlation, it means that the direction of returns tends to be reversed over time. This can have implications for investment strategies and risk management.

Serial Correlation