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
Authors:	Meenagh, David ; Minford, Patrick ; Peel, David
Publisher:	Cardiff : Cardiff University, Cardiff Business School
Subject:	Aktienmarkt \| Kapitalertrag \| Politischer Wandel \| Wirtschaftsmodell \| Markovscher Prozess \| Großbritannien \| Markteffizienz \| regime switching, stock returns \| efficient markets \| rational expectations

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Series:	Cardiff Economics Working Papers ; E2006/13
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	520672569 [GVK] hdl:10419/83914 [Handle] RePEc:cdf:wpaper:2006/13 [RePEc]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C5 - Econometric Modeling ; G14 - Information and Market Efficiency; Event Studies
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010322769