Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited
通过比较无条件样本方差与预期条件方差估计，间接推断预期股票收益的时间变化，发现使用更多信息时可预测性更强，且近年未减弱，半强式证据表明预期收益的时间变化仍具经济重要性。
This paper makes indirect inference about the time variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, and there is no evidence that predictability has diminished in recent years. Semi-strong-form evidence suggests that time variation in expected returns remains economically important.