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1、THEJOURNALOFFINANCE·VOL.LVII,NO.3·JUNE2002Learning,Asset-PricingTests,andMarketEfficiencyJONATHANLEWELLENandJAYSHANKEN*ABSTRACTThispaperstudiestheasset-pricingimplicationsofparameteruncertainty.Weshowthat,wheninvestorsmustlearnaboutexpectedcashflows,empiricaltestscanfin
2、dpatternsinthedatathatdifferfromthoseperceivedbyrationalinvestors.Returnsmightappearpredictabletoaneconometrician,orappeartodeviatefromtheCapitalAssetPricingModel,butinvestorscanneitherperceivenorexploitthispredictability.Returnsmayalsoappearexcessivelyvolatileeventhoug
3、hpricesreactefficientlytocash-flownews.Weconcludethatparameteruncertaintycanbeimportantforcharacterizingandtestingmarketefficiency.THEREISMUCHEVIDENCETHATSTOCKRETURNSarepredictable.Attheaggregatelevel,variablessuchasinterestrates,financialratios,andthedefaultpre-miumapp
4、eartoforecaststockreturns~e.g.,FamaandFrench~1989!andLewellen~2001!!.Further,LeRoyandPorter~1981!andShiller~1981!arguethatpricevolatilitycannotbeexplainedsolelybychangesindividends,pro-vidingindirectevidencethatstockreturnsarepredictable.Atthefirmlevel,FamaandFrench~199
5、2,1996!andJegadeeshandTitman~1993!showthatsize,book-to-market,andpastreturnstogetherexplainmuchofthecross-sectionalvariationinaveragereturns.Thereseemslittledoubtthatex-pectedreturnsvarybothcross-sectionallyandovertime.Theinterpretationofpredictabilityismorecontentious.
6、Theempiricalre-sultsarepotentiallyconsistentwitheithermarketefficiencyormispricing.Ingeneralterms,marketefficiencyimpliesthatpricesfullyreflectavailableinformation.Toformalizethisideaforempiricaltesting,Fama~1976!dis-tinguishesbetweentheprobabilitydistributionofreturnsp
7、erceivedbyªthemarket,ºbasedonwhateverinformationinvestorsviewasrelevant,andthetruedistributionofreturnsconditionalonallinformation.Themarketissaidtobe~informationally!efficientifthesedistributionsarethesame.Itfollowsthat,inanefficientmarket,investorsshouldbeawareofanycr
8、oss-*LewellenisfromtheMITSloanSchoolofManagementandShankenisfromtheSimonGraduateSchoolofBusinessAdministration
