Predictability of stock returns: robustness and economic significance

Article Abstract:

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. (Reprinted by permission of the publisher.)

Stocks, Forecasts and trends

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Minutes of the annual membership meeting

Article Abstract:

The minutes of the American Finance Association's annual membership meeting of January 6, 2001 is presented. The minutes includes information on the Ph.D. student travel awards.

United States, Colleges, Universities, and Professional Schools, Economics, Research and Development in the Social Sciences and Humanities, Colleges and universities, Doctoral Degrees, Publishing industry, Research, Services, Economic research, Doctor of philosophy degree, American Finance Association

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