Weak and Semi-Strong Form Stock Return Predictability Revisited

33 Pages Posted: 1 Feb 2005 Last revised: 14 Aug 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: January 2005

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 (January 2005). NBER Working Paper No. w11021, Available at SSRN: https://ssrn.com/abstract=645263

Wayne E. Ferson (Contact Author)

University of Southern California ( email )

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National Bureau of Economic Research (NBER)

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Andrea J. Heuson

University of Miami - Department of Finance ( email )

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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)