Simulating Stock Returns under switching regimes - a new test of market efficiency
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.
|Date of creation:||Feb 2006|
|Date of revision:|
|Publication status:||Published in Economics Letters , 94 (2007), pp. 235-239|
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