For 13 major international stock markets, there is much evidence of out-of-sample predictability for growth stocks especially when evaluated with economic criteria, and to a noticeably lesser extent for general stock markets and value stocks. Our results shed light on the recent debate about...

Traditional autocorrelation and variance ratio tests are based on serial uncorrelatedness rather than martingale difference. As such, they do not capture potential nonlinearity-in-mean, which could lead to misleading inferences in favor of the martingale hypothesis. This paper employs various...

Traditional autocorrelation and variance ratio tests are based on serial uncorrelatedness rather than martingale difference. As such, they do not capture potential nonlinearity-in-mean, which could lead to misleading inferences in favor of the martingale hypothesis. This paper employs various...