Arbeitspapier
Simulating stock returns under switching regimes: A new test of market efficiency
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Cardiff Economics Working Papers ; No. E2006/13
- Klassifikation
-
Wirtschaft
Statistical Simulation Methods: General
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
regime switching, stock returns
efficient markets
rational expectations
Aktienmarkt
Kapitalertrag
Politischer Wandel
Wirtschaftsmodell
Markovscher Prozess
Großbritannien
Markteffizienz
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Meenagh, David
Minford, Patrick
Peel, David
- Ereignis
-
Veröffentlichung
- (wer)
-
Cardiff University, Cardiff Business School
- (wo)
-
Cardiff
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:22 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Meenagh, David
- Minford, Patrick
- Peel, David
- Cardiff University, Cardiff Business School
Entstanden
- 2006
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