Working Paper
Regime changes in stock returns
Abstract: The authors model stock returns as a stochastic function of a constant expected return and the financing costs resulting from delayed delivery, to examine three potential sources of instability in stock-return model parameter estimates.
Keywords: Stock - Prices; Stock market;
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Bibliographic Information
Provider: Federal Reserve Bank of Cleveland
Part of Series: Working Papers (Old Series)
Publication Date: 1989
Number: 8915