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Weak and Semi-Strong Form Stock Return Predictability, Revisited

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Wayne E. Ferson
Andrea Heuson
Tie Su

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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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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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Handle: RePEc:nbr:nberwo:10689

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G0 - Financial Economics - - General
G1 - Financial Economics - - General Financial Markets

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