The paper is concerned with the question of whether the pricing of US stocks has been efficient in terms of the present value model. The MTAR model used in the context of market efficiency is extended by means of a rolling window estimation strategy. This rolling MTAR analysis revealed that the assumed underlying time series process in the logarithm of earnings to stock-price ratio is highly unstable over time. The findings cast doubt on the usefulness of conclusions relating to extended time periods of about 130 years. Because of the rolling MTAR approach, it is possible to reveal decades of inefficient stock pricing as well as decades of assymetrical time series behaviour.
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
file. 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.