Weak and Semi-Strong Form Stock Return Predictability, Revisited

Wayne Ferson (), Andrea Heuson and Tie Su

No 10689, NBER Working Papers from National Bureau of Economic Research, Inc

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 no evidence that predictability has diminished in recent years. Semi-strong form evidence suggests that time-variation in expected returns remains economically important.

JEL-codes: G0 G1 (search for similar items in EconPapers)
Date: 2004-08
New Economics Papers: this item is included in nep-ets, nep-fin, nep-fmk and nep-rmg
Note: AP
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Citations: View citations in EconPapers (1)

Published as Ferson, Wayne E., Andrea Heuson and Tie Su. "Weak and Semi-strong Form Stock Return Predictability Revisited." Management Science 51 (2005): 1582-1592.

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Working Paper: Weak and Semi-Strong Form Stock Return Predictability Revisited (2005)
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