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Simulating stock returns under switching regimes - A new test of market efficiency

  • Meenagh, David
  • Minford, Patrick
  • Peel, David

A 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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File URL: http://www.sciencedirect.com/science/article/B6V84-4MJBTFB-5/2/7d83ba0dcf0cf47e172b1a734e2c44b3
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 94 (2007)
Issue (Month): 2 (February)
Pages: 235-239

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Handle: RePEc:eee:ecolet:v:94:y:2007:i:2:p:235-239
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Christopher M. Turner & Richard Startz & Charles R. Nelson, 1989. "A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market," NBER Working Papers 2818, National Bureau of Economic Research, Inc.
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