NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Weak and Semi-Strong Form Stock Return Predictability, Revisited

Wayne E. Ferson, Andrea Heuson, Tie Su

NBER Working Paper No. 10689
Issued in August 2004
NBER Program(s):   AP

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.

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Document Object Identifier (DOI): 10.3386/w10689

Published: 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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