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Simulating stock returns under switching regimes: a new test of market efficiency

Meenagh, David, Minford, Patrick and Peel, David 2006. Simulating stock returns under switching regimes: a new test of market efficiency. [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University.

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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: Monograph (Working Paper)
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Subjects: H Social Sciences > HB Economic Theory
Publisher: Cardiff University
Date of First Compliant Deposit: 30 March 2016
Last Modified: 04 Jun 2017 08:25
URI: http://orca.cf.ac.uk/id/eprint/77720

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