The degree of return predictability is measured for seven Latin American stock markets and those in Canada and the United States using three finite‐sample variance ratio tests. Daily data for the period beginning in February 1994 and ending in December 2011 are used in a fixed‐length rolling window to capture short‐lived predictability, track changes in predictability through time and rank markets by relative predictability. Overall, the degree of return predictability varies widely. The most predictable are those located in Chile and Peru; the least predictable are in Argentina and Brazil. Predictability has decreased for all of those stock markets examined, except those located in Ecuador and the United States. Predictability largely coincides with times of crisis. Copyright © 2015 John Wiley & Sons, Ltd.