- Title
- Stock return predictability and the adaptive markets hypothesis: evidence from century long U.S. data
- Creator
- Kim, Jae H.; Lim, Kian-Ping; Shamsuddin, Abul
- Relation
- Finance and Corporate Governance Conference 2010. Proceedings of the Finance and Corporate Governance Conference 2010 (Melbourne, Vic. 7-9 April, 2010)
- Publisher Link
- http://dx.doi.org/10.2139/ssrn.1541639
- Publisher
- Social Science Research Network
- Resource Type
- conference paper
- Date
- 2010
- Description
- We study return predictability of the Dow Jones Industrial Average indices from 1900 to 2009. We find strong evidence that time-varying return predictability is driven by changing market conditions, consistent with the implications of the adaptive markets hypothesis. During market crashes, no return predictability is observed, but an extreme degree of uncertainty is associated with return predictability. During fundamental economic or political crises, stock returns have been highly predictable with a moderate degree of uncertainty. During economic bubbles, return predictability and its uncertainty have been smaller than normal times.
- Subject
- economic bubbles; fundamental crises; financial crises; market efficiency; stock market; United States
- Identifier
- http://hdl.handle.net/1959.13/935714
- Identifier
- uon:12120
- Language
- eng
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