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Stock Market Forecastability and Volatility: A Statistical Appraisal

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  • N. Gregory Mankiw
  • David H. Romer
  • Matthew D. Shapiro

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.

Suggested Citation

  • N. Gregory Mankiw & David H. Romer & Matthew D. Shapiro, 1989. "Stock Market Forecastability and Volatility: A Statistical Appraisal," NBER Working Papers 3154, National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberwo:3154
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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
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