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Stock market forecastability and volatility

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You can always find the topics here! Dividends , Stock prices , Required rates of return , Stock markets , Statistical forecasts , Null hypothesis , Efficient markets , Standard error , Prices , Statistical discrepancies. Were these topics helpful? These topics are helpful. These topics are not helpful.

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Hong Kong Institute for Monetary Research

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Purchase Options Purchase a PDF. Why register for MyJSTOR? Access supplemental materials and multimedia. Unlimited access to purchased articles. Ability to save and export citations. Custom alerts when new content is added. Subscribe to JPASS Monthly Plan. Abstract This paper presents and implements statistical tests of stock market forecastability and volatility that are immune from the severe statistical problems of earlier tests. It finds that although the null hypothesis of market efficiency is rejected, the rejections are only marginal.

The paper also shows how volatility tests and recent regression tests are closely related, and demonstrates that when finite sample biases are taken into account, regression tests also fail to provide strong evidence of violations of the conventional valuation model. JSTOR Home About Search Browse Terms and Conditions Privacy Policy Cookies Accessibility Help Contact Us.

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