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Volatility tests and efficient markets : A review essay

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Author Info
Cochrane, John H.

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File URL: http://www.sciencedirect.com/science/article/B6VBW-458WM5B-13/2/69229ef7a9e3cb16d51f459e59798384
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Article provided by Elsevier in its journal Journal of Monetary Economics.

Volume (Year): 27 (1991)
Issue (Month): 3 (June)
Pages: 463-485
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Handle: RePEc:eee:moneco:v:27:y:1991:i:3:p:463-485

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Web page: http://www.elsevier.com/locate/inca/505566

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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. Hamilton, James D. & Whiteman, Charles H., 1985. "The observable implications of self-fulfilling expectations," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 353-373, November. [Downloadable!] (restricted)
  2. Mankiw, N Gregory & Romer, David & Shapiro, Matthew D, 1991. "Stock Market Forecastability and Volatility: A Statistical Appraisal," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 455-77, May. [Downloadable!] (restricted)
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  3. Flood, Robert P & Hodrick, Robert J, 1990. "On Testing for Speculative Bubbles," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 85-101, Spring. [Downloadable!] (restricted)
  4. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October. [Downloadable!] (restricted)
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  5. Cochrane, John H, 1992. "Explaining the Variance of Price-Dividend Ratios," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(2), pages 243-80. [Downloadable!] (restricted)
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  6. Grossman, Sanford J, 1981. "An Introduction to the Theory of Rational Expectations under Asymmetric Information," Review of Economic Studies, Blackwell Publishing, vol. 48(4), pages 541-59, October. [Downloadable!] (restricted)
  7. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-86, September. [Downloadable!] (restricted)
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