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:	2006-04
Authors:	Meenagh, David ; Minford, Patrick ; Peel, David
Institutions:	C.E.P.R. Discussion Papers
Subject:	efficient markets \| rational expectations \| regime switching \| stock returns

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Extent:	application/pdf
Series:	CEPR Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 5614
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://ebvufind01.dmz1.zbw.eu/10005504613