Download This PaperWeak and Semi-Strong Form Stock Return Predictability Revisited
33 Pages Posted: 1 Feb 2005 Last revised: 14 Aug 2022
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Weak and Semi-Strong Form Stock Return Predictability Revisited
Weak and Semi-Strong Form Stock Return Predictability, Revisited
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: Suggested Citation
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)
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