Title of article
Simulating stock returns under switching regimes – A new test of market efficiency
Author/Authors
David Meenagh، نويسنده , , Patrick Minford، نويسنده , , David Peel، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
5
From page
235
To page
239
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.
Keywords
Regime switching , Efficient markets , Rational expectations , stock returns
Journal title
Economics Letters
Serial Year
2007
Journal title
Economics Letters
Record number
436143
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