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September 12, 2025International Journal of Economics and FinanceOpen Access

Market Efficiency and Return Predictability: A Dynamic Perspective

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Authors

AYAnwen YinYZYan ZhaoWPWilliam J. Procasky

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Overview

This analysis reveals increasing market efficiency in equity markets and highlights factors influencing return predictability.

Key Points

  • Empirical results indicate an increase in market efficiency, especially post-2000s.
  • Forecast combination approaches alleviate issues from over-penalizing models in unstable markets.
  • The analysis considers the effects of key events like the dot-com bubble and regulatory changes.
  • Return predictability is examined through a dynamic, time-varying perspective on market efficiency.

Cite This Study

Yin et al. (2025) studied this question.

synapsesocial.com/papers/68d44f7331b076d99fa567bahttps://doi.org/10.5539/ijef.v17n10p31
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  4. 4MARKET BEHAVIOR AND STOCK RETURN PREDICTABILITY: A STUDY OF THE NIGERIAN EXCHANGE GROUP2026
  5. 5Equity Premium Prediction: Taking into Account the Role of Long, even Asymmetric, Swings in Stock Market Behavior2025