NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Stock Market Forecastability and Volatility: A Statistical Appraisal

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

NBER Working Paper No. 3154*
Issued in October 1989
NBER Program(s):   ME

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.

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

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