Title of article
Asymmetric adjustment of stock prices to their fundamental value and the predictability of US stock returns
Author/Authors
Christophe Boucher، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
9
From page
339
To page
347
Abstract
Using momentum threshold autoregressive (MTAR) models, we explore the adjustment mechanism between US stock prices and fundamentals. Next, we derive non-linear error-correction models and examine whether they can improve forecasts of stock returns. Results support MTAR model only for data at annual frequency
Keywords
Forecasting returns , Momentum threshold autoregressive model , Market timing
Journal title
Economics Letters
Serial Year
2007
Journal title
Economics Letters
Record number
436234
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