The browser you are using is not supported by this website. All versions of Internet Explorer are no longer supported, either by us or Microsoft (read more here: https://www.microsoft.com/en-us/microsoft-365/windows/end-of-ie-support).

Please use a modern browser to fully experience our website, such as the newest versions of Edge, Chrome, Firefox or Safari etc.

Testing for Predictability in Conditionally Heteroskedastic Stock Returns

På svenska

Author

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.

Publishing year

2014-02-13

Language

English

Publication/Series

Journal of Financial Econometrics

Document type

Journal article

Publisher

Oxford University Press

Topic

  • Economics

Keywords

  • Conditional heteroskedasticity
  • Predictability
  • FQGLS
  • Subsampling
  • Stock returns

Status

Published

ISBN/ISSN/Other

  • ISSN: 1479-8409