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Simulating Stock Returns under switching regimes-a new test of market efficiency

Meenagh, David, Minford, Anthony Patrick Leslie and Peel, David Alan 2007. Simulating Stock Returns under switching regimes-a new test of market efficiency. Economics Letters 94 (2) , pp. 235-239. 10.1016/j.econlet.2006.06.036

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Abstract

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.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Uncontrolled Keywords: Regime switching; Stock returns; Efficient markets; Rational expectations
ISSN: 0165-1765
Last Modified: 15 Dec 2017 08:39
URI: http://orca.cf.ac.uk/id/eprint/2555

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