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1、AmericanFinanceAssociationLearning,Asset-PricingTests,andMarketEfficiencyAuthor(s):JonathanLewellenandJayShankenReviewedwork(s):Source:TheJournalofFinance,Vol.57,No.3(Jun.,2002),pp.1113-1145Publishedby:BlackwellPublishingfortheAmericanFinanceAssociationStableURL:http://www.jstor.or
2、g/stable/2697774.Accessed:18/04/201222:40YouruseoftheJSTORarchiveindicatesyouracceptanceoftheTerms&ConditionsofUse,availableat.http://www.jstor.org/page/info/about/policies/terms.jspJSTORisanot-for-profitservicethathelpsscholars,researchers,andstudentsdiscover,use,andbuilduponawide
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4、andextendaccesstoTheJournalofFinance.http://www.jstor.orgTHEJOURNALOFFINANCE*VOL.LVII,NO.3*JUNE2002Learning,Asset-PricingTests,andMarketEfficiencyJONATHANLEWELLENandJAYSHANKEN*ABSTRACTThispaperstudiestheasset-pricingimplicationsofparameteruncertainty.Weshowthat,wheninvestorsmustlea
5、rnaboutexpectedcashflows,empiricaltestscanfindpatternsinthedatathatdifferfromthoseperceivedbyrationalinvestors.Returnsmightappearpredictabletoaneconometrician,orappeartodeviatefromtheCapitalAssetPricingModel,butinvestorscanneitherperceivenorexploitthispredictability.Returnsmayalsoa
6、ppearexcessivelyvolatileeventhoughpricesreactefficientlytocash-flownews.Weconcludethatparameteruncertaintycanbeimportantforcharacterizingandtestingmarketefficiency.THEREISMUCHEVIDENCETHATSTOCKRETURNSarepredictable.Attheaggregatelevel,variablessuchasinterestrates,financialratios,and
7、thedefaultpre-miumappeartoforecaststockreturns(e.g.,FamaandFrench(1989)andLewellen(2001)).Further,LeRoyandPorter(1981)andShiller(1981)arguethatpricevolatilitycannotbeexplainedsolelybychangesindividends,pro-vidingindirectevidencethatstockreturnsarepredictable.Atthefirmlevel,FamaandF
8、rench(1992,1996)andJegadee
