Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/274684 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 4 [Article No.:] 162 [Year:] 2022 [Pages:] 1-20
Publisher: 
MDPI, Basel
Abstract: 
We revisited the issue of return predictability in three major developed markets (USA, UK and Japan) using a unique dataset from the Wharton Research Data Services database and a comprehensive set of traditional and recent statistical methods. We specifically employed a variety of traditional linear and nonlinear tests, latest multiple-break unit root tests and spectral analysis to test the efficient market hypothesis. Our results show that these stock markets generally are inefficient. We further explored whether the departure from market efficiency can be used to generate profitable trades and found that abnormal returns exist in all three markets. We found evidence of abnormal returns associated with the break dates identified in the models which are correlated with major historical events around the world. Our findings have important implications for investors and policymakers.
Subjects: 
abnormal returns
efficient market hypothesis
spectral analysis
unit root
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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