LEARNING, SPECIFICATION SEARCH AND MARKET-EFFICIENCY - WITH AN APPLICATION TO THE DANISH STOCK-MARKET

被引:1
|
作者
TIMMERMANN, AG
机构
来源
SCANDINAVIAN JOURNAL OF ECONOMICS | 1993年 / 95卷 / 02期
关键词
D O I
10.2307/3440404
中图分类号
F [经济];
学科分类号
02 ;
摘要
A new methodology is adopted for testing semi-strong efficiency in financial markets where investors do not know the underlying data-generating model. Based on ideas from the literature on learning, it is shown that investors can use a dynamic significance criterion to conduct a specification search and select a model from which predictions can be computed recursively. Applied to the Danish stock market over the period 1982-1991, a portfolio based on such recursive predictions is found to provide a higher mean return with a lower variance than the market index.
引用
收藏
页码:157 / 173
页数:17
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