Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

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

Meenagh, David ORCID: https://orcid.org/0000-0002-9930-7947, 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.

[thumbnail of e2006_13.pdf]
Preview
PDF - Published Version
Download (139kB) | Preview

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: 28 Oct 2022 10:17
URI: https://orca.cardiff.ac.uk/id/eprint/77720

Actions (repository staff only)

Edit Item Edit Item

Downloads

Downloads per month over past year

View more statistics