Moon, Seongman; Velasco, Carlos - Research Institute for Market Economy, Sogang University - 2011
investigate if expectations errors are the main cause of this predictability using the serial dependence pattern of excess returns … statistically significant positive serial dependence of excess returns in the entire sample and the very weak (mostly insignificant …) positive serial dependence in the subsample excluding observations in 1980-87 are consistent with the predictions of the …