Fundamentals Efficiency of the Italian Stock Market: Some Long Run Evidence

A predictive regression approach is adopted to test fundamental efficiency of the Italian equities market on a new long run (1913 to 1999) time series of returns and fundamentals, namely dividend price, earnings price, and price to book. Univariate and vector autoregression significance is tested with Monte Carlo and bootstrapping simulation methods. Some evidence of predictability of stock returns is found especially with respect to the price to book ratio.

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Year of publication:	2006
Authors:	Alesii, Giuseppe
Published in:	International Journal of Business and Economics. - College of Business, ISSN 1607-0704. - Vol. 5.2006, 3, p. 245-264
Publisher:	College of Business
Subject:	dividend yield \| price earning \| price to book ratio \| VAR \| long horizon predictive regressions

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

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