Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects / Sermin Gungor and Richard Luger.: FB3-5/2017-10E-PDF
“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.
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.833849&sl=0
| Department/Agency |
|
|---|---|
| Title | Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects / Sermin Gungor and Richard Luger. |
| Series title |
|
| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
| Electronic document | |
| Note(s) |
|
| Publishing information |
|
| Author / Contributor |
|
| Description | ii, 62 p. : charts |
| Catalogue number |
|
| Subject terms |
Request alternate formats
To request an alternate format of a publication, complete the Government of Canada Publications email form. Use the form’s “question or comment” field to specify the requested publication.Page details
- Date modified: