returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests … inherent cause of predictability differs across groups. Research limitations/implications The authors present empirical … evidence which may be used to attain a deeper understanding of the links between predictability and market efficiency, in view …

returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests … inherent cause of predictability differs across groups. Research limitations/implications The authors present empirical … evidence which may be used to attain a deeper understanding of the links between predictability and market efficiency, in view …

stock returns because prices instantly reflect all the information flowing into the market. However, return predictability … has been documented in many markets. This study tests the predictability of returns using two valuation ratios …

-sectional stock return predictability (Menzly and Ozbas (2010)).We show that robust predictability also arises from horizontal links … into account when they form their portfolios. We thus provide evidence of return predictability based on a new type of …