Simulating Stock Returns under switching regimes - a new test of market efficiency
AbstractA 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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Bibliographic InfoPaper provided by Cardiff University, Cardiff Business School, Economics Section in its series Cardiff Economics Working Papers with number E2006/13.
Length: 9 pages
Date of creation: Feb 2006
Date of revision:
Publication status: Published in Economics Letters , 94 (2007), pp. 235-239
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More information through EDIRC
regime switching; stock returns; efficient markets; rational expectations;
Other versions of this item:
- Meenagh, David & Minford, Patrick & Peel, David, 2007. "Simulating stock returns under switching regimes - A new test of market efficiency," Economics Letters, Elsevier, vol. 94(2), pages 235-239, February.
- Meenagh, David & Minford, Patrick & Peel, David, 2006. "Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency," CEPR Discussion Papers 5614, C.E.P.R. Discussion Papers.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-02-19 (All new papers)
- NEP-ETS-2006-02-19 (Econometric Time Series)
- NEP-FIN-2006-02-19 (Finance)
- NEP-FMK-2006-02-19 (Financial Markets)
- NEP-RMG-2006-02-19 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
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- Hatcher, Michael C. & Minford, Patrick, 2013. "Stabilization policy, rational expectations and price-level versus inflation targeting: a survey," Cardiff Economics Working Papers E2013/14, Cardiff University, Cardiff Business School, Economics Section.
- ap Gwilym, Rhys, 2010.
"Can behavioral finance models account for historical asset prices?,"
Elsevier, vol. 108(2), pages 187-189, August.
- ap Gwilym, Rhys, 2009. "Can behavioral finance models account for historical asset prices?," Cardiff Economics Working Papers E2009/17, Cardiff University, Cardiff Business School, Economics Section.
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