Testing for Predictability in Conditionally Heteroskedastic Stock Returns
Författare
Summary, in English
The difficulty of predicting stock returns has recently motivated researchers to start
looking for more powerful tests, and the current paper takes a step in this direction.
Unlike existing tests, the test proposed here exploits the information contained in the
heteroskedasticity of findings, which is expected to lead to higher power, a result that is
confirmed by our results. In order to also maintain good size accuracy, subsample critical
values are used.
looking for more powerful tests, and the current paper takes a step in this direction.
Unlike existing tests, the test proposed here exploits the information contained in the
heteroskedasticity of findings, which is expected to lead to higher power, a result that is
confirmed by our results. In order to also maintain good size accuracy, subsample critical
values are used.
Publiceringsår
2014-02-13
Språk
Engelska
Publikation/Tidskrift/Serie
Journal of Financial Econometrics
Dokumenttyp
Artikel i tidskrift
Förlag
Oxford University Press
Ämne
- Economics
Nyckelord
- Conditional heteroskedasticity
- Predictability
- FQGLS
- Subsampling
- Stock returns
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1479-8409