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):The Monetary Economics Program

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.

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Document Object Identifier (DOI): 10.3386/w3154

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

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