Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/130020 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
cemmap working paper No. CWP08/15
Verlag: 
Centre for Microdata Methods and Practice (cemmap), London
Zusammenfassung: 
We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based on actual returns rather than logarithmic returns and is therefore better suited to capturing price predictability. It captures not only linear dependence in the same way as the variance ratio statistics of Lo and MacKinlay (1988) but also some nonlinear dependencies. We derive the asymptotic distribution of the statistics under the null hypothesis that simple gross returns are unpredictable after a constant mean adjustment. This represents a test of the weak form of the Efficient Market Hypothesis. We also consider the multivariate extension, in particular, we derive the restrictions implied by the EMH on multiperiod portfolio gross returns. We apply our methodology to test the gross return predictability of various financial series.
Schlagwörter: 
Variance Ratio Tests
Martingale
Predictability
JEL: 
C10
C22
G10
G14
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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