Abstract
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.
Original language | English |
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Article number | nbu001 |
Pages (from-to) | 342-375 |
Number of pages | 34 |
Journal | Journal of Financial Econometrics |
Volume | 13 |
Issue number | 2 |
DOIs | |
Publication status | Published - Mar 2015 |
Externally published | Yes |
Keywords
- Conditional heteroskedasticity
- FQGLS
- Predictability
- Stock returns
- Subsampling