Abstract

http://ssrn.com/abstract=913344
 
 

References (16)



 
 

Citations (1)



 


 



Simulating Stock Returns under Switching Regimes - A New Test of Market Efficiency


David Meenagh


Cardiff University Business School

Patrick Minford


Cardiff University Business School; Centre for Economic Policy Research (CEPR)

David A. Peel


Lancaster University - Management School

April 2006

CEPR Discussion Paper No. 5614

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.

Number of Pages in PDF File: 17

Keywords: Regime switching, stock returns, efficient markets, rational expectations

JEL Classification: C15, C5, G14

working papers series


Date posted: July 5, 2006  

Suggested Citation

Meenagh, David and Minford, Patrick and Peel, David A., Simulating Stock Returns under Switching Regimes - A New Test of Market Efficiency (April 2006). CEPR Discussion Paper No. 5614. Available at SSRN: http://ssrn.com/abstract=913344

Contact Information

David Meenagh
Cardiff University Business School ( email )
Colum Drive
Cardiff, CF1 3YN
United Kingdom
+44 29 2087 5198 (Phone)
+44 29 2087 4419 (Fax)
Patrick Minford (Contact Author)
Cardiff University Business School ( email )
Colum Drive
Cardiff, CF1 3YN
United Kingdom
+44 29 2087 5728 (Phone)
+44 29 2087 4419 (Fax)
Centre for Economic Policy Research (CEPR)
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
David Alan Peel
Lancaster University - Management School ( email )
Lancaster, LA1 4YX
United Kingdom
+44 (0)1524 593590 (Phone)
+44 (0)1524 594244 (Fax)
HOME PAGE: http://www.lancs.ac.uk/staff/peeld/
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References:  16
Citations:  1

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