Testing for Predictability in Conditionally Heteroskedastic Stock Returns
(2014) In Journal of Financial Econometrics- Abstract
- 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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/4588905
- author
- Westerlund, Joakim LU and Narayan, Paresh
- publishing date
- 2014-02-13
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Conditional heteroskedasticity, Predictability, FQGLS, Subsampling, Stock returns
- in
- Journal of Financial Econometrics
- publisher
- Oxford University Press
- external identifiers
-
- scopus:84925269252
- ISSN
- 1479-8409
- DOI
- 10.1093/jjfinec/nbu001
- language
- English
- LU publication?
- no
- id
- 0ae82888-4cc9-4673-b2fa-4869f8736966 (old id 4588905)
- date added to LUP
- 2016-04-01 10:20:24
- date last changed
- 2022-04-27 20:50:25
@article{0ae82888-4cc9-4673-b2fa-4869f8736966, abstract = {{The difficulty of predicting stock returns has recently motivated researchers to start<br/><br> looking for more powerful tests, and the current paper takes a step in this direction.<br/><br> Unlike existing tests, the test proposed here exploits the information contained in the<br/><br> heteroskedasticity of findings, which is expected to lead to higher power, a result that is<br/><br> confirmed by our results. In order to also maintain good size accuracy, subsample critical<br/><br> values are used.}}, author = {{Westerlund, Joakim and Narayan, Paresh}}, issn = {{1479-8409}}, keywords = {{Conditional heteroskedasticity; Predictability; FQGLS; Subsampling; Stock returns}}, language = {{eng}}, month = {{02}}, publisher = {{Oxford University Press}}, series = {{Journal of Financial Econometrics}}, title = {{Testing for Predictability in Conditionally Heteroskedastic Stock Returns}}, url = {{http://dx.doi.org/10.1093/jjfinec/nbu001}}, doi = {{10.1093/jjfinec/nbu001}}, year = {{2014}}, }