Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited

Wayne E. Ferson (), Andrea Heuson () and Tie Su ()
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Wayne E. Ferson: Boston College, 140 Commonwealth Avenue, Chestnut Hill, Massachusetts 02467
Andrea Heuson: University of Miami, 5250 University Drive, Coral Gables, Florida 33124
Tie Su: University of Miami, 5250 University Drive, Coral Gables, Florida 33124

Management Science, 2005, vol. 51, issue 10, 1582-1592

Abstract: This paper makes indirect inference about the time variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and there is no evidence that predictability has diminished in recent years. Semi-strong-form evidence suggests that time variation in expected returns remains economically important.

Keywords: asset pricing; market efficiency; stock market predictability (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:51:y:2005:i:10:p:1582-1592

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