Estimation risk, market efficiency, and the predictability of returns
By: Jonathan Lewellen, Jay Shanken.
Contributors: Shanken, Jay.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 7699; Working paper series (National Bureau of Economic Research) -- working paper no. 7699.
Publisher: National Bureau of Economic Research
Published: 2000
Place of publication: Cambridge, MA
Language: eng
Number of pages: 51
Subjects: Stock price forecasting -- Econometric models.; Risk assessment -- Econometric models.; Efficient market theory.; Capital assets pricing model.; Rate of return -- Econometric models.
Notes: "May 2000."

JEL no. C11, D83, G12, G14.

Includes bibliographical references (p. 47-49).

Electronic access limited to Binghamton University faculty, staff and students for instructional and research purposes only.

Electronic version available via the Internet at the NBER World Wide Web site.