Stock Market Forecastability and Volatility: A Statistical Appraisal

N. Gregory Mankiw, David Romer and Matthew D. Shapiro

No 3154, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

Date: 1989-10
Note: ME
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Citations: View citations in EconPapers (10)

Published as Review of Economic Studies, Vol. 58, No. 3, pp. 455-477, May 1991.

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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)
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