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Weak and Semi-strong Form Stock Return Predictability Revisited

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发布日期：2008年05月03日上次修订日期：2008年05月03日

Wayne E. Ferson wayne.ferson@bc.edu Boston College Tie Su tie@miami.edu University of Miami

摘要

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 timevariation in expected returns remains economically important.

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stock returns

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