Article ID Journal Published Year Pages File Type
5062563 Economics Letters 2007 5 Pages PDF
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.

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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Simulating stock returns under switching regimes - A new test of market efficiency
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