Weak-form and semi-strong-form stock return predictability revisited

• 成果类型: Article
• 署名作者: Ferson, WE; Heuson, A; Su, T
• 署名单位: Boston College; University of Miami
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1050.0396
• 发表日期: 2005
• 页码: 1582-1592
• 关键词: Asset pricing; market efficiency; stock market predictability

摘要

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.