Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited

Autor:	Tie Su, Wayne E. Ferson, Andrea J. Heuson
Rok vydání:	2005
Předmět:	Stock exchange Strategy and Management Econometrics Economics Inference Capital asset pricing model Sample (statistics) asset pricing market efficiency stock market predictability Asset (economics) Management Science and Operations Research Predictability Indirect Inference Stock (geology)
Zdroj:	Management Science. 51:1582-1592
ISSN:	1526-5501 0025-1909
Popis:	This paper makes indirect inference about the time variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and there is no evidence that predictability has diminished in recent years. Semi-strong-form evidence suggests that time variation in expected returns remains economically important.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ff0678b49a912570ee9e3148002d4a80 https://doi.org/10.1287/mnsc.1050.0396 Zobrazit plný text záznamu Plný text ve formátu PDF