Weak-form and semi-strong-form stock return predictability revisited

Wayne E. Ferson, Andrea Heuson, Tie Su

Research output: Contribution to journalReview article

4 Citations (Scopus)

Abstract

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.

Original languageEnglish (US)
Pages (from-to)1582-1592
Number of pages11
JournalManagement Science
Volume51
Issue number10
DOIs
StatePublished - Oct 1 2005

Fingerprint

Stock return predictability
Time variation
Predictability
Indirect inference
Stock returns
Conditional variance
Expected returns

Keywords

  • Asset pricing
  • Market efficiency
  • Stock market predictability

ASJC Scopus subject areas

  • Strategy and Management
  • Management Science and Operations Research

Cite this

Weak-form and semi-strong-form stock return predictability revisited. / Ferson, Wayne E.; Heuson, Andrea; Su, Tie.

In: Management Science, Vol. 51, No. 10, 01.10.2005, p. 1582-1592.

Research output: Contribution to journalReview article

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