TY  - JOUR
AU  - Mankiw,N. Gregory
AU  - Romer,David H.
AU  - Shapiro,Matthew D.
TI  - Stock Market Forecastability and Volatility: A Statistical Appraisal
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3154
PY  - 1989
Y2  - October 1989
UR  - http://www.nber.org/papers/w3154
L1  - http://www.nber.org/papers/w3154.pdf
N1  - Author contact info:
N. Gregory Mankiw
Department of Economics
Littauer 223
Harvard University
Cambridge, MA  02138
Tel: 617/495-4301
Fax: 617/495-7730
E-Mail: ngmankiw@fas.harvard.edu

David H. Romer
Department of Economics
University of California
Berkeley, CA 94720-3880
E-Mail: dromer@econ.berkeley.edu

Matthew D. Shapiro
Department of Economics
University of Michigan
611 Tappan St
Ann Arbor, MI 48109-1220
Tel: 734/764-5419
Fax: 734 764-2769
E-Mail: shapiro@umich.edu
AB  - 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.
ER  -