Haggard, K. Stephen; Witte, H. Douglas - In: Managerial Finance 38 (2012) May, pp. 530-542
Purpose – The purpose of this paper is to suggest a superior method for assessing mean stationarity of asset pricing effects. Design/methodology/approach – The authors suggest the use of an F-test to examine mean stationarity of asset pricing effects across subperiods. The superiority of...