Chou, Pin-Huang; Ko, Kuan-Cheng - In: Economics Letters 100 (2008) 1, pp. 31-34
By applying Bai and Perron's [Bai, J., Perran, P., 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66, 47-78] change-point model, we pinpoint the exact dates for structural breaks in the book-to-market premium. We find that overall the BM premium is...
