Authors
M Hashem Pesaran, Allan Timmermann
Publication date
1995/9
Journal
The Journal of Finance
Volume
50
Issue
4
Pages
1201-1228
Publisher
Blackwell Publishing Ltd
Description
This article examines the robustness of the evidence on predictability of U.S. stock returns, and addresses the issue of whether this predictability could have been historically exploited by investors to earn profits in excess of a buy‐and‐hold strategy in the market index. We find that the predictive power of various economic factors over stock returns changes through time and tends to vary with the volatility of returns. The degree to which stock returns were predictable seemed quite low during the relatively calm markets in the 1960s, but increased to a level where, net of transaction costs, it could have been exploited by investors in the volatile markets of the 1970s.
Total citations
Scholar articles
MH Pesaran, A Timmermann - The Journal of Finance, 1995
MH Pesaran, A Timmermann - Journal of Finance, 1995
MH Pesaran, A Timmermann - … LIBRARY OF CRITICAL WRITINGS IN ECONOMICS, 2002