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Weak and Semi-Strong Form Stock Return Predictability, Revisited

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  • Wayne E. Ferson
  • Andrea Heuson
  • Tie Su

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.

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Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 10689.

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Date of creation: Aug 2004
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Publication status: published as Ferson, Wayne E., Andrea Heuson and Tie Su. "Weak and Semi-strong Form Stock Return Predictability Revisited." Management Science 51 (2005): 1582-1592.
Handle: RePEc:nbr:nberwo:10689

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Cited by:
  1. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2006. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," NBER Working Papers 12658, National Bureau of Economic Research, Inc.
  2. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim, 2008. "Nonlinear mean reversion in stock prices," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 767-782, May.

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