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.

download in pdf format
   (291 K)

download in djvu format
   (229 K)

email paper

This paper is available as PDF (291 K) or DjVu (229 K) (Download viewer) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w3154

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

Users who downloaded this paper also downloaded these:
Ferreira and Santa-Clara w14571 Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole
Kim, Nelson, and Startz w2795 Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us