Testing for Predictability in Conditionally Heteroskedastic Stock Returns

The difficulty of predicting stock returns has recently motivated researchers to start looking for more powerful tests, and the current paper takes a step in this direction. Unlike existing tests, the test proposed here exploits the information contained in the heteroskedasticity of returns, which is expected to lead to higher power, a result that is confirmed by our results. In order to also maintain good size accuracy, subsample critical values are used.

MoreLess

Authors:	Westerlund, Joakim ; Narayan, Paresh Kumar
Institutions:	Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance
Subject:	Predictability \| FQGLS \| Conditional heteroskedasticity \| Subsampling \| Stock returns

More details

Extent:	application/pdf
Series:	Financial Econometics Series.
Type of publication:	Book / Working Paper
Notes:	Number 2014_01
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010741270