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Testing for Predictability in Conditionally Heteroskedastic Stock Returns

Westerlund, Joakim LU and Narayan, Paresh (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:
author
publishing date
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
2014-08-20 10:43:10
date last changed
2017-11-19 03:09:21
@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},
  keyword      = {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},
  year         = {2014},
}