Weak and Semi-Strong Form Stock Return Predictability, Revisited

35 Pages Posted: 8 Sep 2004 Last revised: 17 Sep 2022

See all articles by Wayne E. Ferson

Wayne E. Ferson

University of Southern California; National Bureau of Economic Research (NBER)

Andrea J. Heuson

University of Miami - Department of Finance

Tie Su

University of Miami - Department of Finance

Multiple version iconThere are 2 versions of this paper

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.

Suggested Citation

Ferson, Wayne E. and Heuson, Andrea J. and Su, Tie, Weak and Semi-Strong Form Stock Return Predictability, Revisited (August 2004). NBER Working Paper No. w10689, Available at SSRN: https://ssrn.com/abstract=579220

Wayne E. Ferson (Contact Author)

University of Southern California ( email )

2250 Alcazar Street
Los Angeles, CA 90089
United States

HOME PAGE: http://www-rcf.usc.edu/~ferson/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Andrea J. Heuson

University of Miami - Department of Finance ( email )

P.O. Box 248094
Coral Gables, FL 33124-6552
United States
305-284-4362 (Phone)
305-284-4800 (Fax)

Tie Su

University of Miami - Department of Finance ( email )

P.O. Box 248094
Coral Gables, FL 33124-6552
United States
305-284-1885 (Phone)
305-284-4800 (Fax)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
68
Abstract Views
1,444
rank
297,686
PlumX Metrics