Testing for Monotonicity in Expected Asset Returns ∗

Abstract

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… (More)

9 Figures and Tables

Topics

  • Presentations referencing similar topics