Asymmetric adjustment of stock prices to their fundamental value and the predictability of US stock returns

Christophe Boucher ()
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Christophe Boucher: CEPN - Centre d'Economie de l'Université Paris Nord (ancienne affiliation) - UP13 - Université Paris 13 - CNRS - Centre National de la Recherche Scientifique

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Abstract: Using momentum threshold autoregressive (MTAR) models, we explore the adjustment mechanism between US stock prices and fundamentals. Next, we derive non-linear error-correction models and examine whether they can improve forecasts of stock returns. Results support MTAR model only for data at annual frequency.

Keywords: Momentum threshold autoregressive model; Forecasting returns; Market timing (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (7)

Published in Economics Letters, 2007, 95, pp.June, 339-347

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00267994

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