Arbeitspapier

Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects

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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.

Sprache
Englisch

Erschienen in
Series: Bank of Canada Staff Working Paper ; No. 2017-10

Klassifikation
Wirtschaft
Hypothesis Testing: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Information and Market Efficiency; Event Studies; Insider Trading
Thema
Econometric and statistical methods
Asset pricing
Financial markets

Ereignis
Geistige Schöpfung
(wer)
Gungor, Sermin
Luger, Richard
Ereignis
Veröffentlichung
(wer)
Bank of Canada
(wo)
Ottawa
(wann)
2017

DOI
doi:10.34989/swp-2017-10
Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Original beim Datenpartner anzeigen

Objekttyp

  • Arbeitspapier

Beteiligte

  • Gungor, Sermin
  • Luger, Richard
  • Bank of Canada

Entstanden

  • 2017

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