The aim of this paper is to investigate the predictability of stock returns. The Efficient Market Hypothesis or Random Walk is rejected and an Alternative Parametric Model (ARIMA) is proposed for modeling and forecasting stock returns. The results of the variance ratio test of Lo and MacKinlay...

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...