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 C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 5614.
Date of creation: Apr 2006
Date of revision:
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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," Cardiff Economics Working Papers E2006/13, Cardiff University, Cardiff Business School, Economics Section.
- 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-2006-04-22 (All new papers)
- NEP-FIN-2006-04-22 (Finance)
- NEP-FMK-2006-04-22 (Financial Markets)
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Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- Stock markets, volatility and predictability
by chris dillow in Stumbling and Mumbling on 2010-01-03 14:12:44
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by chris dillow in Stumbling and Mumbling on 2009-10-19 13:55:25
- Animal Spirits: A review
by chris dillow in Stumbling and Mumbling on 2009-02-26 13:27:46
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