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Stock Price Predictability

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Abstract

The question of predictability in stock returns has important and broad economic implications. Predictability relates directly to the efficiency of the capital markets in allocating resources to their highest valued uses. But the interpretation of predictability, and the evidence for its very existence, remain controversial. This article provides a review of the arguments and evidence for stock return predictability. The evidence for weak-form predictability, based on the information in past stock prices, is more fragile and less compelling than the evidence for semi-strong form predictability, based on publicly available information more generally.

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Acknowledgments

The author acknowledges financial support from the Collins Chair in Finance at Boston College and the helpful comments of Steven Durlauf and Timothy Simin.

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  1. http://link.springer.com/referencework/10.1007/978-1-349-95121-5

    Wayne E. Ferson

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  1. Wayne E. Ferson
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Ferson, W.E. (2018). Stock Price Predictability. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2276

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