Publication: Testing for monotonicity in expected asset returns
Testing for monotonicity in expected asset returns
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Romano, J. P., & Wolf, M. (2013). Testing for monotonicity in expected asset returns (No. 17; Working Paper Series / Department of Economics).
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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 characteristic 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 to be monotonic from the outset: either weakly decreasing under the null or strictly increasing under the alternative. When the relation is non
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Romano, J. P., & Wolf, M. (2013). Testing for monotonicity in expected asset returns (No. 17; Working Paper Series / Department of Economics).
