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DP5614 Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency

Author(s): David Meenagh , Patrick Minford , David Peel
Publication Date: April 2006
Keyword(s): regime switching , stock returns , efficient markets , rational expectations
JEL(s): C15 , C5 , G14
Programme Areas: International Macroeconomics
Link to this Page: www.cepr.org/pubs/dps/DP5614.asp


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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