00000nam 2200000za 4500 9.833849 CaOODSP 20221107150314 cr ||||||||||| 170317s2017 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-5/2017-10E-PDF Gungor, Sermin. Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects [electronic resource] / Sermin Gungor and Richard Luger. [Ottawa] : Bank of Canada, 2017. ii, 62 p. : charts Bank of Canada staff working paper, 1701-9397 ; 2017-10 "March 2017." Includes bibliographical references (p. 42-48). “We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns. The usefulness of the new procedure is demonstrated both in a simulation study and by examining the ability of a group of financial variables to predict excess stock returns. We find robust evidence of predictability during the period 1948–2014, driven entirely by the term spread. This empirical evidence, however, is much weaker over subsamples"--Abstract, p. ii. Includes abstract in French. gccst Markets gccst Economic analysis gccst Statistical analysis Luger, Richard. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2017-10 (CaOODSP)9.806221 PDF 818 KB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-10-eng.pdf