Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects

Sermin Gungor and Richard Luger

Staff Working Papers from Bank of Canada

Abstract: We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns.

Keywords: Asset pricing; Econometric and statistical methods; Financial markets (search for similar items in EconPapers)
JEL-codes: C1 C12 C3 C32 G1 G14 (search for similar items in EconPapers)
Pages: 66 pages
Date: 2017
New Economics Papers: this item is included in nep-ecm and nep-ets
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Related works:
Journal Article: Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:17-10

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