This paper tests the weak-form efficient market hypothesis for Korean industry-sorted portfolios. Based on a panel variance ratio approach, we find significant mean reversion of stock returns over long horizons in the pre Asian currency crisis period but little evidence in the post-crisis...

In recent years, there has been greater concern among the investors, portfolio managers and researchers regarding the behaviour of the stock market prices. The investors are interested to earn a higher return on their investments. Therefore, the portfolio managers have to examine the stock...

This paper examines return predictability of the U.S. stock market using portfolios sorted by size, book-to-market ratio, and industry. A novel panel variance ratio test is proposed and employed to evaluate time-varying return predictability from 1964 to 2011. It is found that the stock returns...