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Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited

Author

Listed:
  • Wayne E. Ferson

    (Boston College, 140 Commonwealth Avenue, Chestnut Hill, Massachusetts 02467)

  • Andrea Heuson

    (University of Miami, 5250 University Drive, Coral Gables, Florida 33124)

  • Tie Su

    (University of Miami, 5250 University Drive, Coral Gables, Florida 33124)

Abstract

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 there is no evidence that predictability has diminished in recent years. Semi-strong-form evidence suggests that time variation in expected returns remains economically important.

Suggested Citation

  • Wayne E. Ferson & Andrea Heuson & Tie Su, 2005. "Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited," Management Science, INFORMS, vol. 51(10), pages 1582-1592, October.
    • Handle: RePEc:inm:ormnsc:v:51:y:2005:i:10:p:1582-1592
    DOI: 10.1287/mnsc.1050.0396
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    References listed on IDEAS

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    Cited by:

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    2. Bali, Turan G. & Demirtas, K. Ozgur & Levy, Haim, 2008. "Nonlinear mean reversion in stock prices," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 767-782, May.
    3. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

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