Deakin University
Browse

File(s) under permanent embargo

Testing for predictability in conditionally heteroskedastic stock returns

journal contribution
posted on 2015-03-01, 00:00 authored by Joakim WesterlundJoakim Westerlund, Paresh Narayan
The difficulty of predicting stock returns has recently motivated researchers to start looking for more powerful tests, and the current study 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.

History

Journal

Journal of financial econometrics

Volume

13

Issue

2

Pagination

342 - 375

Publisher

Oxford University Press

Location

Oxford, Eng.

ISSN

1479-8409

eISSN

1479-8417

Language

eng

Publication classification

C Journal article; C1 Refereed article in a scholarly journal

Copyright notice

2015, Oxford University Press