Download Info

To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info

Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 36 (1981)
Issue (Month): 2 (May)
Pages: 291-304
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:bla:jfinan:v:36:y:1981:i:2:p:291-304

Contact details of provider:
Web page: http://www.afajof.org/
More information through EDIRC

Order Information:
Web: http://www.afajof.org/membership/join.asp

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research

Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

1. Andrew W. Lo & A. Craig MacKinlay, 1989. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 41-66. [Downloadable!] (restricted)
2. Andrew W. Lo & A. Craig MacKinlay, 1988. "The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation," NBER Technical Working Papers 0066, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Andrew W. Lo & Craig A. MacKinlay, . "The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation," Rodney L. White Center for Financial Research Working Papers 28-87, Wharton School Rodney L. White Center for Financial Research.
   • Lo, Andrew W. & MacKinlay, A. Craig, 1989. "The size and power of the variance ratio test in finite samples : A Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 40(2), pages 203-238, February. [Downloadable!] (restricted)
3. G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Schwert, G. William, 2003. "Anomalies and market efficiency," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974 Elsevier. [Downloadable!] (restricted)
4. Matthew Spiegel, 1996. "Stock Price Volatility in a Multiple Security Overlapping Generations Model," Finance 9608002, EconWPA. [Downloadable!]
5. Kenneth D. West, 1986. "A Standard Monetary Model and the Variability of the Deutschemark-DollarExchange Rate," NBER Working Papers 2102, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • West, Kenneth D., 1987. "A standard monetary model and the variability of the deutschemark-dollar exchange rate," Journal of International Economics, Elsevier, vol. 23(1-2), pages 57-76, August. [Downloadable!] (restricted)
6. Nongnuch Tantisantiwong, 2004. "Theoretical moment restrictions of commodity prices," Money Macro and Finance (MMF) Research Group Conference 2004 19, Money Macro and Finance Research Group. [Downloadable!]
7. Acuña, Andrés & Pinto, Cristián, 2007. "Eficiencia del Mercado Accionario Chileno: Un Enfoque Dinámico usando Tests de Volatilidad
   [Chilean Stock Market Efficiency: A Dynamic Approach using Volatility Tests]," MPRA Paper 7387, University Library of Munich, Germany. [Downloadable!]
   Other versions:
   • Acuña, Andrés & Pinto, Cristián, 2009. "Eficiencia del mercado accionario chileno: un enfoque dinámico usando tests de volatilidad," Lecturas de Economia, UNIVERSIDAD DE ANTIOQUIA - CIE. [Downloadable!]
8. G. Caginalp, H. Laurent, 1998. "The predictive power of price patterns," Applied Mathematical Finance, Taylor and Francis Journals, vol. 5(3-4), pages 181-205, September. [Downloadable!] (restricted)
9. Joseph L. Pagliari, Jr. & James R. Webb, 1995. "A Fundamental Examination of Securitized and Unsecuritized Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 381-426. [Downloadable!]
10. Bruce N. Lehmann, 1990. "Fads, Martingales, and Market Efficiency," NBER Working Papers 2533, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
11. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
12. David S. Jones & V. Vance Roley, 1984. "Rational Expectations, the Expectations Hypothesis, and Treasury Bill Yields: An Econometric Analysis," NBER Working Papers 0869, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
13. Georg Gebhardt & Felix Höffler, 2008. "How to Determine whether Regional Markets are Integrated? Theory and Evidence from European Electricity Markets," Discussion Papers 236, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich. [Downloadable!]
14. Mohsen Bahmani-Oskooee, 1991. "On The Effects Of Exchange Risk On The Foreign Exchange Market Efficiency," International Economic Journal, Korean International Economic Association, vol. 5(2), pages 77-86, June. [Downloadable!] (restricted)
15. Jondeau, E. & Sedillot, F., 1998. "La prevision des taux longs français et allemands a partir d'un modele a anticipations rationnelles," Documents de Travail 55, Banque de France. [Downloadable!]
16. Hanno Lustig, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 352, UCLA Department of Economics. [Downloadable!]
17. Rudiger Dornbusch, 1983. "Equilibrium and Disequilibrium Exchange Rates," NBER Working Papers 0983, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • R. Dornbusch, 1982. "Equilibrium and Disequilibrium Exchange Rates," Working papers 309, Massachusetts Institute of Technology (MIT), Department of Economics.
18. Jeffrey A. Frankel & James H. Stock, 1987. "A Relationship Between Regression Tests and Volatility Tests of Market ncy," NBER Working Papers 1105, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

Did you know? RePEc data is maintained by each archive holder on its own website. Nothing is held centrally.

This page was last updated on 2009-11-12.