Weak and semi-strong form stock return predictability, revisited
By: Wayne E. Ferson, Andrea Heuson, Tie Su.
Contributors: Heuson, Andrea Jane, 1955-; Su, Tie, 1968-; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10689; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10689.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Stock price forecasting.
Description: "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"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 1/10/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.