Excess Volatility Tests
Author:
Publisher
Palgrave Macmillan UK
Link
http://link.springer.com/content/pdf/10.1057/978-1-349-95189-5_2307
Reference20 articles.
1. Campbell, J., and R. Shiller. 1988. The dividend–price ratio and expectations of future dividends and discount factors. Review of Financial Studies 1: 195–228.
2. Cutler, D., J. Poterba, and L. Summers. 1989. What moves stock prices? Journal of Portfolio Management 15: 4–12.
3. Fama, E. 1970. Efficient capital markets: A review of theory and empirical work. Journal of Finance 25: 283–417.
4. Flavin, M. 1983. Excess volatility in the financial markets: A reassessment of the empirical evidence. Journal of Political Economy 91: 929–956.
5. Gilles, C., and S. LeRoy. 1991. Econometric aspects of the variance bounds tests: A survey. Review of Financial Studies 4: 753–791.
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