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Stock Market Forecastability and Volatility: A Statistical Appraisal
N. Gregory Mankiw () and
Matthew D. Shapiro
NBER Working Papers from National Bureau of Economic Research, Inc
This paper presents and implements statistical tests of stock market forecastability and volatility that are immune from the severe statistical problems of earlier tests. Although the null hypothesis of strict market efficiency is rejected, the evidence against the hypothesis is not overwhelming. That is, the data do not provide evidence of gross violations of the conventional valuation model.
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Related works: Journal Article: Stock Market Forecastability and Volatility: A Statistical Appraisal (1991) Working Paper: STOCK MARKET FORECASTABILITY AND VOLATILITY: A STATISTICAL APPRAISAL (1989) This item may be available elsewhere in EconPapers: Search for items with the same title.
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Persistent link: http://EconPapers.repec.org/RePEc:nbr:nberwo:3154
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