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Stock Market Forecastability And Volatility: A Statistical Appraisal

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  • MANKIW, N.G.
  • ROMER, D.
  • SHAPIRO, M.D.

Abstract

This paper presents and implements statistical tests of stock market forecastability and volatility that are immune from the severe statistical problems of earlier tests. Although the null hypothesis of strict market efficiency is rejected, the evidence against the hypothesis is not overwhelming. That is, the data do not provide evidence of gross violations of the conventional valuation model.
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Suggested Citation

  • Mankiw, N.G. & Romer, D. & Shapiro, M.D., 1989. "Stock Market Forecastability And Volatility: A Statistical Appraisal," Papers 89-21, Michigan - Center for Research on Economic & Social Theory.
  • Handle: RePEc:fth:michet:89-21
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    References listed on IDEAS

    as
    1. 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.
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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.
    14. Kleidon, Allan W, 1986. "Variance Bounds Tests and Stock Price Valuation Models," Journal of Political Economy, University of Chicago Press, vol. 94(5), pages 953-1001, October.
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    17. Kim, M.J. & Nelson, C.R. & Startz, R., 1988. "Mean Reversion In Stock Prices? A Reappraisal Of Empirical Evidence," Discussion Papers in Economics at the University of Washington 88-15, Department of Economics at the University of Washington.
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