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

David Meenagh, A. Patrick Minford and David 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)
Pages: 9 pages
Date: 2006-02
New Economics Papers: this item is included in nep-ets, nep-fin, nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Economics Letters , 94 (2007), pp. 235-239

Downloads: (external link)
http://carbsecon.com/wp/E2006_13.pdf (application/pdf)

Related works:
Journal Article: Simulating stock returns under switching regimes - A new test of market efficiency (2007)
Working Paper: Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cdf:wpaper:2006/13

Access Statistics for this paper

More papers in Cardiff Economics Working Papers from Cardiff University, Cardiff Business School, Economics Section Contact information at EDIRC.
Bibliographic data for series maintained by Yongdeng Xu ().