Simulating Stock Returns under switching regimes - a new test of market efficiency

A model of profits switches between four regimes with fixed probabilities; the rationally expected profits stream implies the stock market value. This efficient market model is not rejected by UK post-war time-series behaviour of either profits or the FTSE index.

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Year of publication:	2006-02
Authors:	Meenagh, David ; Minford, A. Patrick L. ; Peel, David A.
Institutions:	Economics Section, Cardiff Business School
Subject:	regime switching \| stock returns \| efficient markets \| rational expectations

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Extent:	application/pdf
Series:	Cardiff Economics Working Papers. - ISSN 1749-6101.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in <a href="http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6V84-4MJBTFB-5&_user=129520&_coverDate=02%2F28%2F2007&_rdoc=15&_fmt=high&_orig=browse&_srch=doc-info(%23toc%235860%232007%23999059997%23642625%23FLA%23display%23Volume)&_cdi=5860&_sort=d&_docanchor=&_ct=26&_acct=C000010758&_version=1&_urlVersion=0&_userid=129520&md5=afa13b9b01977c0c2e5d57afed8d6daf"><i>Economics Letters</i>, 94 (2007), pp. 235-239</a> Number E2006/13 9 pages
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C5 - Econometric Modeling ; G14 - Information and Market Efficiency; Event Studies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005811694