Regime changes in stock returns

Nan-Ting Chou and Ramon Degennaro

No 8915, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

Abstract: The authors model stock returns as a stochastic function of a constant expected return and the financing costs resulting from delayed delivery, to examine three potential sources of instability in stock-return model parameter estimates.

Keywords: Stock - Prices; Stock market (search for similar items in EconPapers)
Date: 1989
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