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Stock Market Forecastability and Volatility: A Statistical Appraisal / N. Gregory Mankiw, David H. Romer, Matthew D. Shapiro.
- Format:
- Book
- Author/Creator:
- Mankiw, N. Gregory.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w3154.
- NBER working paper series no. w3154
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Stock Market Forecastability and Volatility
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1989.
- Summary:
- 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.
- Notes:
- Print version record
- October 1989.
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