Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited

This paper makes indirect inference about the time variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and there is no evidence that predictability has diminished in recent years. Semi-strong-form evidence suggests that time variation in expected returns remains economically important.

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Year of publication:	2005
Authors:	Ferson, Wayne E. ; Heuson, Andrea ; Su, Tie
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 51.2005, 10, p. 1582-1592
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	asset pricing \| market efficiency \| stock market predictability

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.1050.0396 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009191504