Standard Article

Predictability of Asset Prices

  1. Yexiao Xu

Published Online: 15 MAY 2010

DOI: 10.1002/9780470061602.eqf03013

Encyclopedia of Quantitative Finance

Encyclopedia of Quantitative Finance

How to Cite

Xu, Y. 2010. Predictability of Asset Prices. Encyclopedia of Quantitative Finance. .

Author Information

  1. University of Texas at Dallas, Richardson, TX, USA

Publication History

  1. Published Online: 15 MAY 2010


A large literature has been devoted to address the issue whether security markets are predictable. This is an enormously important question from both practitioners' perspective in exploring investment opportunities and academia to understand whether capital markets are informationally efficient and how asset allocation decisions will be affected. In this article, some of the important theories either for or against the case of predictability are reviewed. From the existing evidence, it is believed that the US equity markets as a whole are predictable to some extent.


  • predictability;
  • expected return;
  • dividend yield;
  • repurchasing yield;
  • estimation risk;
  • efficient market