Testing for monotonicity in expected asset returns
نویسندگان
چکیده
منابع مشابه
Testing for Monotonicity in Expected Asset Returns
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristc into account, as is done in the recent proposal of Patton and Timmermann (2010). But their test is only a test for the direction of monotonicity, since it requires the relation t...
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Many postulated relations in finance imply that expected asset returns should monotonically increase in a certain characteristic. To examine the validity of such a claim, one typically considers a finite number of return categories, ordered according to the underlying characteristic. A standard approach is to simply test for a difference in expected returns between the highest and the lowest re...
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ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2013
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2013.05.001