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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

Testing for Predictability in Conditionally Heteroskedastic Stock Returns

Author

  • Joakim Westerlund
  • Paresh Narayan

Summary, in English

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.

Publishing year

2014-02-13

Language

English

Publication/Series

Journal of Financial Econometrics

Document type

Journal article

Publisher

Oxford University Press

Topic

  • Economics

Keywords

  • Conditional heteroskedasticity
  • Predictability
  • FQGLS
  • Subsampling
  • Stock returns

Status

Published

ISBN/ISSN/Other

  • ISSN: 1479-8409