Kim, Jae H.; Shamsuddin, Abul; Lim, Kian-Ping - In: Journal of Empirical Finance 18 (2011) 5, pp. 868-879
This paper provides strong evidence of time-varying return predictability of the Dow Jones Industrial Average index from 1900 to 2009. Return predictability is found to be driven by changing market conditions, consistent with the implication of the adaptive markets hypothesis. During market...