Simulating stock returns under switching regimes: a new test of market efficiency

Meenagh, David ORCID: https://orcid.org/0000-0002-9930-7947, Minford, Patrick and Peel, David 2006. Simulating stock returns under switching regimes: a new test of market efficiency. [Working Paper]. Cardiff Economics Working Papers, Cardiff: Cardiff University.

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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.

Item Type:	Monograph (Working Paper)
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HB Economic Theory
Publisher:	Cardiff University
Date of First Compliant Deposit:	30 March 2016
Last Modified:	28 Oct 2022 10:17
URI:	https://orca.cardiff.ac.uk/id/eprint/77720

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