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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. |