NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Tie Su

University of Miami

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Institutional Affiliation: University of Miami

NBER Working Papers and Publications

January 2005Weak and Semi-Strong Form Stock Return Predictability Revisited
with Wayne E. Ferson, Andrea Heuson: w11021
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.

Published: Ferson, Wayne, Andrea Heuson and Tie Su. "Weak and Semi-strong Form Stock Return Predictability Revisited." Management Science 51 (2005): 1582-1592.

 
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