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On estimating the expected rate of return in diffusion price models with application to estimating the expected return on the market

Goldenberg, David Harold - In: Journal of financial and quantitative analysis : JFQA 31 (1996) 4, pp. 605-631

Persistent link: https://www.econbiz.de/10001219186

A Closer Look at Return Predictability of the US Stock Market : Evidence from a Panel Variance Ratio Test

Kim, Jae H. - 2013

-to-market ratio, and industry. A novel panel variance ratio test is proposed and employed to evaluate time-varying return …

Persistent link: https://www.econbiz.de/10013086798

Efficiency drifts in euronext stock indexes returns

Gomes, Luís M. P.; Soares, Vasco J. S.; Gama, Sílvio M. A. - In: International journal of business 27 (2022) 2, pp. 28-44

Persistent link: https://www.econbiz.de/10013395911

On the dynamics of international stock market efficiency

Khaled, Mohammed S.; Keef, Stephen P. - In: Cogent economics & finance 2 (2014) 1, pp. 1-11

The Granger causality procedure is used to assess the dynamics of market efficiency of 17 international stock indices. These indices are based on relatively smaller firms. The reference of market efficiency is a stock index, from the same economy, which is based on relatively larger firms. There...

Persistent link: https://www.econbiz.de/10010470565