Weak and Semi-Strong Form Stock Return Predictability Revisited
NBER Working Paper No. 11021
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.
Document Object Identifier (DOI): 10.3386/w11021
Published: Ferson, Wayne, Andrea Heuson and Tie Su. "Weak and Semi-strong Form Stock Return Predictability Revisited." Management Science 51 (2005): 1582-1592.
Users who downloaded this paper also downloaded these: