Weak and Semi-Strong Form Stock Return Predictability, Revisited
35 Pages Posted: 8 Sep 2004 Last revised: 17 Sep 2022
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Weak and Semi-Strong Form Stock Return Predictability Revisited
Date Written: August 2004
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 no evidence that predictability has diminished in recent years. Semi-strong form evidence suggests that time-variation in expected returns remains economically important.
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