The excess volatility approach to testing the rational expectations-efficient markets hypothesis has focused on the time series properties of an aggregate stock market index. In this paper, the authors examine another dimension of volatility and study cross-section data on the stock market valuation of individual firms. They compare cross-section data on the actual stock market value of firms with the cross-section data on the present discounted value of total realized future dividend payments. Copyright 1991 by Blackwell Publishers Ltd and The Victoria University of Manchester
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Volume (Year): 59 (1991) Issue (Month): 0 (Supplement,) Pages: 72-80 Download reference. The following formats are available: HTML
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Handle: RePEc:bla:manch2:v:59:y:1991:i:0:p:72-80
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