Simulating Stock Returns under switching regimes - a new test of market efficiency

David Meenagh, A. Patrick L. Minford and David A. Peel

No E2006/13, Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section

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; stock returns; efficient markets; rational expectations (search for similar items in EconPapers)
JEL-codes: C15 C5 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets, nep-fin, nep-fmk and nep-rmg
Date: 2006-02
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Published in Economics Letters, 94 (2007), pp. 235-239

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Related works:
Working Paper: Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency (2006)
Journal Article: Simulating stock returns under switching regimes - A new test of market efficiency (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:cdf:wpaper:2006/13

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