Predictability of Stock Returns: Robustness and Economic Significance

Mohammad Pesaran and Allan Timmermann

Journal of Finance, 1995, vol. 50, issue 4, 1201-28

Abstract: This article examines the robustness of the evidence on predictability of U.S. stock returns, and addresses the issue of whether this predictability could have been historically exploited by investors to earn profits in excess of a buy-and-hold strategy in the market index. We find that the predictive power of various economic factors over stock returns changes through time and tends to vary with the volatility of returns. The degree to which stock returns were predictable seemed quite low during the relatively calm markets in the 1960s but increased to a level where, net of transaction costs it could have been exploited by investors in the volatile markets of the 1970s. Copyright 1995 by American Finance Association.

Date: 1995
References: Add references at CitEc
Citations: View citations in EconPapers (486)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819950 ... O%3B2-Z&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:50:y:1995:i:4:p:1201-28

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().