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 |
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 |
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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-mwe.cf.ac.uk/id/eprint/2555 |
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