International Journal of Business and Economics Volume 5, No. 3 December, 2006

Fundamentals Efficiency of the Italian Stock Market: Some Long Run Evidence

Giuseppe Alesii

Facoltà di Economia, Università di L'Aquila, Italy

Abstract

A predictive regression approach is adopted to test fundamental efficiency of the Italian equities market on a new long run (1913 to 1999) time series of returns and fundamentals, namely dividend price, earnings price, and price to book. Univariate and vector autoregression significance is tested with Monte Carlo and bootstrapping simulation methods. Some evidence of predictability of stock returns is found especially with respect to the price to book ratio.

Keywords：dividend yield, price earning, price to book ratio, VAR, long horizon predictive regressions.

JEL Classifications：G10.

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