1 option
Weak and Semi-Strong Form Stock Return Predictability, Revisited / Wayne E. Ferson, Andrea Heuson, Tie Su.
- Format:
- Book
- Author/Creator:
- Ferson, Wayne E.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w10689.
- NBER working paper series no. w10689
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2004.
- Summary:
- 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.
- Notes:
- Print version record
- August 2004.
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