ARE LONG‐HORIZON STOCK RETURNS PREDICTABLE? A BOOTSTRAP ANALYSIS
用自助法生成股票收益的模拟历史，检验英国长期股票收益的可预测性，发现即使使用更多信息，也没有证据支持均值回归，且以往研究高估了方差比统计量的显著性。
This paper examines empirical evidence of predictability of long‐horizon real and excess stock returns in the UK using univariate as well as multivariate Variance Ratio tests. In order to estimate the sampling distribution of the test statistics, artificial histories ofstock returns are generated from their empirical distribution using the bootstrap method. This allows the construction of significance levels of the test statistic which are free from distributional assumptions. The empirical results indicate that there is no evidence of mean reversion in stock prices even if a wider information set to forecast stock returns is used and that the significance of historical Variance Ratio statistics has been overstated by previous studies.