Stock Market Forecastability and Volatility: A Statistical Appraisal
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.
|Date of creation:||Oct 1989|
|Date of revision:|
|Publication status:||published as Review of Economic Studies, Vol. 58, No. 3, pp. 455-477, May 1991.|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
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