Predictability revisited: UK equity returns, 1965-2007
Bowen, David A.
Hutchinson, Mark C.
This study tests a large sample of UK equity returns from 1965 to 2007 for predictability. Returns are tested using the Lo and MacKinlay (1988) variance ratio test and the Chow and Denning (1993) multiple variance ratio tests. Overall, the results show strong signs of predictability. There is a size effect, in which small equities appear more predictable in the first half of the sample (1965–1985), and mid- to large-size equities appear more predictable in the second half of the sample (1986–2007).
Predictability of equity returns , Equities
BOWEN, D. A., HUTCHINSON, M. C. & O'SULLIVAN, N. 2010. Predictability revisited: UK equity returns, 1965-2007. Irish Accounting Review, 17, 1-20.