| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11021 |
| 来源ID | Working Paper 11021 |
| Weak and Semi-Strong Form Stock Return Predictability Revisited | |
| Wayne E. Ferson; Andrea Heuson; Tie Su | |
| 发表日期 | 2005-01-10 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w11021 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568656 |
| 推荐引用方式 GB/T 7714 | Wayne E. Ferson,Andrea Heuson,Tie Su. Weak and Semi-Strong Form Stock Return Predictability Revisited. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11021.pdf（273KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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