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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.
(This abstract was borrowed from another version of this item.)

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
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