TY  - JOUR
AU  - Ferson,Wayne E.
AU  - Heuson,Andrea
AU  - Su,Tie
TI  - Weak and Semi-Strong Form Stock Return Predictability, Revisited
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 10689
PY  - 2004
Y2  - August 2004
UR  - http://www.nber.org/papers/w10689
L1  - http://www.nber.org/papers/w10689.pdf
N1  - Author contact info:
Wayne E. Ferson
Department of Finance
and Business Economics
University of Southern California
3670 Trousdale Parkway Suite 308
Los Angeles, CA 90089-0804
Tel: 213/740-5615
Fax: 213/740-6650
E-Mail: ferson@marshall.usc.edu
AB  - 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.
ER  -