Stock Market Forecastability and Volatility: A Statistical Appraisal
NBER Working Paper No. 3154
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.