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| 01908nam 2200325za 4500 |
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| 001 | 9.833849 |
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| 003 | CaOODSP |
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| 005 | 20221107150314 |
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| 007 | cr ||||||||||| |
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| 008 | 170317s2017 oncd ob f000 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 041 | |aeng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2017-10E-PDF |
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| 100 | 1 |aGungor, Sermin. |
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| 245 | 10|aSmall-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects |h[electronic resource] / |cSermin Gungor and Richard Luger. |
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| 260 | |a[Ottawa] : |bBank of Canada, |c2017. |
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| 300 | |aii, 62 p. : |bcharts |
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| 490 | 1 |aBank of Canada staff working paper, |x1701-9397 ; |v2017-10 |
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| 500 | |a"March 2017." |
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| 504 | |aIncludes bibliographical references (p. 42-48). |
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| 520 | 3 |a“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. |
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| 546 | |aIncludes abstract in French. |
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| 692 | 07|2gccst|aMarkets |
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| 692 | 07|2gccst|aEconomic analysis |
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| 692 | 07|2gccst|aStatistical analysis |
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| 700 | 1 |aLuger, Richard. |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2017-10|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s818 KB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-10-eng.pdf |
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