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Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?: Comment
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This article is published in The American Economic Review.The article was published on 1983-01-01 and is currently open access. It has received 6 citations till now. The article focuses on the topics: Stock exchange & Stock market bubble.read more
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Variance Bounds Tests and Stock Price Valuation Models
TL;DR: The authors showed that stock prices appear nonstationary, which is consistent with changes in expectations of future cash flows causing changes in future cash flow, and thus changes in stock prices, which can explain the previously reported gross violations of variance bounds.
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Dividend variability and variance bounds tests for the rationality of stock market prices
Terry A. Marsh,Robert C. Merton +1 more
TL;DR: In this article, the authors analyze the variance-bound methodology used by Shiller and conclude that this approach cannot be used to test the hypothesis of stock market rationality, and they conclude that the empirical properties of the stochastic model I posit come close to resembling the empirical determinants of today's real-world markets.
Journal ArticleDOI
Accounting Earnings and Security Valuation: Empirical Evidence of the Fundamental Links
TL;DR: In this article, a conceptual framework that explains the relation between accounting data and contemporaneous security prices is provided by the information perspective on accounting, and empirical evidence of these fundamental links is provided.
Journal ArticleDOI
Are stock prices too volatile to be justified by the dividend discount model
TL;DR: In this article, the conditional variance bound relationship is examined using cross-sectional data simulated from the general equilibrium asset pricing model of Brock, and it is shown that one cannot infer any conclusions about market efficiency from the unconditional variance bounds tests.
Journal ArticleDOI
Are Stock Prices Too Volatile to be Justified by the Dividend Discount Model
TL;DR: In this article, the conditional variance bound relationship is examined using cross-sectional data simulated from the general equilibrium asset pricing model of Brock (1982), and it is shown that one cannot infer any conclusions about market efficiency from the unconditional variance bounds tests.
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Posted Content
Dividend variability and variance bounds tests for the rationality of stock market prices
Terry A. Marsh,Robert C. Merton +1 more
TL;DR: In this article, the authors analyze the variance-bound methodology used by Shiller and conclude that this approach cannot be used to test the hypothesis of stock market rationality, and they conclude that the empirical properties of the stochastic model I posit come close to resembling the empirical determinants of today's real-world markets.