This study measures the degree of short-horizon return predictability of 50 international
equity markets and examines how its variation is related to the indicators of equity
market development. Two multiple-horizon variance ratio tests are employed to
measure the degree of return predictability. We find evidence that return predictability
is negatively correlated with publicly available indicators of equity market
development. Our cross-sectional regression analysis shows that the per capita GDP,
market turnover, investor protection, and absence of short selling restrictions are
correlated with cross-market variations in return predictability.