Regime changes in stock returns

The authors model stock returns as a stochastic function of a constant expected return and the financing costs resulting from delayed delivery, to examine three potential sources of instability in stock-return model parameter estimates.

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Year of publication:	1989
Authors:	Chou, Nan-Ting ; DeGennaro, Ramon P.
Institutions:	Federal Reserve Bank of Cleveland
Subject:	Stock - Prices \| Stock market

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Extent:	application/pdf
Series:	Working Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 8915
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005428343