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| Author: | Campbell, J.Y. Yogo, M. |
| Title: | Efficient tests of stock return predictability |
| Journal: | Journal of Financial Economics
2006 : JUL, VOL. 81:1, p. 27-60 |
| Index terms: | dividends forecasting stock returns |
| Language: | eng |
| Abstract: | This article develops a model in order to test the predictability of stock returns. The authors aim to determine whether the conventional t-test results in invalid inference and an efficient predictability test to correct the problem. The results show that the authorsÂ’ test finds evidence for predictability. |
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