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Weak and Semi-Strong Form Stock Return Predictability Revisited

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Author Info
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 11021.

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Date of creation: Jan 2005
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Handle: RePEc:nbr:nberwo:11021

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Find related papers by JEL classification:
G1 - Financial Economics - - General Financial Markets
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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