Stock Market Forecastability and Volatility : A Statistical Appraisal

N. Gregory Mankiw, David H. Romer, Matthew D. Shapiro

This paper presents and implements statistical tests of stock market forecastability and volatility that are immune from the severe statistical problems of earlier tests. Although the null hypothesis of strict market efficiency is rejected, the evidence against the hypothesis is not overwhelming. That is, the data do not provide evidence of gross violations of the conventional valuation model

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Year of publication:	October 1989
Authors:	Mankiw, N. Gregory
Other Persons:	Romer, David H. (contributor) ; Shapiro, Matthew D. (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Theorie \| Theory \| Börsenkurs \| Share price \| Prognoseverfahren \| Forecasting model \| Statistische Methodenlehre \| Statistical theory \| Volatilität \| Volatility \| Aktienmarkt \| Stock market

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Extent:	1 Online-Ressource
Series:	NBER working paper series ; no. w3154
Type of publication:	Book / Working Paper
Language:	English
Notes:	Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers.
Other identifiers:	10.3386/w3154 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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