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Stock Market Forecastability And Volatility: A Statistical Appraisal

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Author Info
MANKIW, N.G.
ROMER, D.
SHAPIRO, M.D.

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Abstract

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Publisher Info
Paper provided by Michigan - Center for Research on Economic & Social Theory in its series Papers with number 89-21.

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Length: 39 pages
Date of creation: 1989
Date of revision:
Handle: RePEc:fth:michet:89-21

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Postal: UNIVERSITY OF MICHIGAN, DEPARTMENT OF ECONOMICS CENTER FOR RESEARCH ON ECONOMIC AND SOCIAL THEORY, ANN ARBOR MICHIGAN U.S.A.

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Related research
Keywords: financial market ; statistical analysis ; forecasting techniques;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
    Other versions:
  2. Summers, Lawrence H, 1986. " Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July. [Downloadable!] (restricted)
  3. N. Gregory Mankiw & Matthew D. Shapiro, 1985. "Do We Reject Too Often? Small Sample Bias in Tests of Rational Expectations," Cowles Foundation Discussion Papers 743, Cowles Foundation, Yale University. [Downloadable!]
  4. Merton, Robert C., 1985. "On the current state of the stock market rationality hypothesis," Working papers 1717-85., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
  5. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  6. Phillips, Peter C B, 1988. "Regression Theory for Near-Integrated Time Series," Econometrica, Econometric Society, vol. 56(5), pages 1021-43, September. [Downloadable!] (restricted)
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  7. Mankiw, N Gregory & Romer, David & Shapiro, Matthew D, 1985. " An Unbiased Reexamination of Stock Market Volatility," Journal of Finance, American Finance Association, vol. 40(3), pages 677-87, July. [Downloadable!] (restricted)
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  8. Ackley, Gardner, 1983. "Commodities and Capital: Prices and Quantities," American Economic Review, American Economic Association, vol. 73(1), pages 1-16, March.
  9. Shiller, Robert J. & Perron, Pierre, 1985. "Testing the random walk hypothesis : Power versus frequency of observation," Economics Letters, Elsevier, vol. 18(4), pages 381-386. [Downloadable!] (restricted)
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  10. Kenneth D. West, 1988. "Dividend Innovations and Stock Price Volatility," NBER Working Papers 1833, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  11. White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January. [Downloadable!] (restricted)
  12. Kim, M.J. & Nelson, C.R. & Startz, R., 1988. "Mean Reversion In Stock Prices? A Reappraisal Of Empirical Evidence," Working Papers 88-15, University of Washington, Department of Economics.
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  13. Scott, Louis O, 1985. "The Present Value Model of Stock Prices: Regression Tests and Monte Carlo Results," The Review of Economics and Statistics, MIT Press, vol. 67(4), pages 599-605, November. [Downloadable!] (restricted)
  14. LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, vol. 49(3), pages 555-74, May. [Downloadable!] (restricted)
  15. Marsh, Terry A. & Merton, Robert C., 1984. "Dividend variability and variance bounds tests for the rationality of stock market prices," Working papers 1584-84., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
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  16. Flood, Robert P & Hodrick, Robert J, 1986. " Asset Price Volatility, Bubbles, and Process Switching," Journal of Finance, American Finance Association, vol. 41(4), pages 831-42, September. [Downloadable!] (restricted)
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  17. West, Kenneth D, 1987. "A Specification Test for Speculative Bubbles," The Quarterly Journal of Economics, MIT Press, vol. 102(3), pages 553-80, August. [Downloadable!] (restricted)
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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Cornelis A. Los, 2004. "Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data," Finance 0409033, EconWPA. [Downloadable!]
  2. Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct. [Downloadable!]
  3. J. Bradford De Long & Richard Grossman, 1992. "Excess Volatility on the London Stock Market, 1870-1990," J. Bradford De Long's Working Papers _133, University of California at Berkeley, Economics Department. [Downloadable!]
  4. Robert S. Chirinko & Huntley Schaller, 2001. "Business Fixed Investment and "Bubbles": The Japanese Case," American Economic Review, American Economic Association, vol. 91(3), pages 663-680, June. [Downloadable!] (restricted)
    Other versions:
  5. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Cheolbeom Park, 2001. "Stock Returns and the Dispersion in Earnings Forecasts," Departmental Working Papers wp0117, National University of Singapore, Department of Economics. [Downloadable!]
  7. Matthew Spiegel, 1996. "Stock Price Volatility in a Multiple Security Overlapping Generations Model," Finance 9608002, EconWPA. [Downloadable!]
  8. Pindyck, Robert S., 1991. "The present value model of rational commodity pricing," Working papers 3354-91., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    Other versions:
  9. Peter F. Christoffersen & Francis X. Diebold, 2004. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," CFS Working Paper Series 2004/08, Center for Financial Studies. [Downloadable!]
    Other versions:
  10. Leonardo Bartolini & Lorenzo Giorgianni, 2000. "Excess volatility of exchange rates with unobservable fundamentals," Staff Reports 103, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  11. Laura L. Veldkamp, 2006. "Media Frenzies in Markets for Financial Information," American Economic Review, American Economic Association, vol. 96(3), pages 577-601, June. [Downloadable!]
    Other versions:
  12. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO. [Downloadable!]
  13. William R. Nelson, 1999. "The aggregate change in shares and the level of stock prices," Finance and Economics Discussion Series 1999-08, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  14. John H. Cochrane, 1992. "Volatility Tests and Efficient Markets: A Review Essay," NBER Working Papers 3591, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  15. Leonardo Bartolini & Gordon M. Bodnar, 1996. "Are exchange rates excessively volatile? And what does "excessively volatile" mean, anyway?," Research Paper 9601, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  16. Eugene N. White & Peter Rappoport, 1994. "The New York Stock Market in the 1920s and 1930s: Did Stock Prices Move Together Too Much?," NBER Working Papers 4627, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  17. Cheolbeom Park, 2002. "Speculative Behavior and Heterogeneous Expectations: Theory and Evidence," Departmental Working Papers wp0205, National University of Singapore, Department of Economics. [Downloadable!]
  18. Robert B. Barsky & J. Bradford De Long, 1992. "Why Does the Stock Market Fluctuate?," NBER Working Papers 3995, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
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This page was last updated on 2009-11-20.

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