Journal ArticleDOI
The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure
TLDR
This paper showed that long rates show a tendency to fall when they are high relative to short rates rather than rise as predicted by expectations models, and that the volatility of actual long-term interest rates, as measured by the variance of short-term holding yields on longterm bonds, appears to exceed limits imposed by the models.Abstract:
Models which represent long-term interest rates as long averages of expected short-term interest rates imply, because of the smoothing implicit in the averaging, that long rates should not be too volatile. The volatility of actual long-term interest rates, as measured by the variance of short-term holding yields on long-term bonds, appears to exceed limits imposed by the models. Such excess volatility implies a kind of forecastability for long rates. Long rates show a slight tendency to fall when they are high relative to short rates rather than rise as predicted by expectations models.read more
Citations
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Journal ArticleDOI
Does the Stock Market Overreact
TL;DR: In this article, a study of market efficiency investigates whether people tend to "overreact" to unexpected and dramatic news events and whether such behavior affects stock prices, based on CRSP monthly return data, is consistent with the overreaction hypothesis.
Journal ArticleDOI
Efficient Capital Markets: II
TL;DR: A review of the market efficiency literature can be found in this article, where the authors discuss the work that they find most interesting, and offer their views on what we have learned from the research on market efficiency.
Journal ArticleDOI
Trends and random walks in macroeconmic time series: Some evidence and implications
TL;DR: In this paper, the authors investigate whether macroeconomic time series are better characterized as stationary fluctuations around a deterministic trend or as non-stationary processes that have no tendency to return to the deterministic path, and conclude that macroeconomic models that focus on monetary disturbances as a source of purely transitory fluctuations may not be successful in explaining a large fraction of output variation.
Journal ArticleDOI
ARCH modeling in finance: A review of the theory and empirical evidence
TL;DR: An overview of some of the developments in the formulation of ARCH models and a survey of the numerous empirical applications using financial data can be found in this paper, where several suggestions for future research, including the implementation and tests of competing asset pricing theories, market microstructure models, information transmission mechanisms, dynamic hedging strategies, and pricing of derivative assets, are also discussed.
Posted Content
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
TL;DR: In this article, a linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expectations of future log real dividend changes and future real discount rates.
References
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Book ChapterDOI
Investigating causal relations by econometric models and cross-spectral methods
TL;DR: In this article, it is shown that the cross spectrum between two variables can be decomposed into two parts, each relating to a single causal arm of a feedback situation, and measures of causal lag and causal strength can then be constructed.
Journal ArticleDOI
A subordinated stochastic process model with finite variance for speculative prices
TL;DR: In this article, a general class of finite-variance distributions for price changes is described, and a member of this class, the lognormal-normal, is tested against previously proposed distributions for speculative price differences.
Posted Content
The Capital Asset Pricing Model: Some Empirical Tests
TL;DR: In this paper, the authors present some additional tests of the mean-variance formulation of the asset pricing model, which avoid some of the problems of earlier studies and provide additional insights into the nature of the structure of security returns.
ReportDOI
Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends
TL;DR: In this article, the authors developed the efficient markets model in Section I to clarify some theoretical questions that may arise in connection with the inequality, and some similar inequalities will be derived that put limits on the standard deviation of the innovation in price and the variance of the change in price.