search query: @author Mankiw, N. G. / total: 9
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| Author: | Mankiw, N. G. Romer, D. Shapiro, M. D. |
| Title: | Stock market forecastability and volatility: A statistical appraisal. |
| Journal: | Review of Economic Studies
1991 : MAY, VOL. 58:195, p. 455-477 |
| Index terms: | FORECASTING STOCK MARKETS |
| Language: | eng |
| Abstract: | To the casual observer, fluctuations in stock prices appear dramatically too large to be explained by changes in underlying economic factors. Here, statistical tests of stock market forecastability and volatility are presented and implemented. These tests are immune from the severe statistical problems of earlier tests. It is found that although the null hypothesis of market efficiency is rejected, the rejections are only marginal. It is shown how volatility tests and recent regression tests are closely related. It is demonstrated that when finite sample biases are taken into account, regression tests also fail to provide strong evidence of violations of the conventional valuation model. |
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