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Empirical Assessment of Present Value Relations

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  • Joe Mattey and Richard Meese.

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Bibliographic Info

Paper provided by University of California at Berkeley in its series Research Program in Finance Working Papers with number 162.

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Date of creation: 01 Jun 1986
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Handle: RePEc:ucb:calbrf:162

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Postal: University of California at Berkeley, Berkeley, CA USA
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Cited by:
  1. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 301-55, July.
  2. Kenneth A. Froot, 1987. "Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets," NBER Working Papers 2362, National Bureau of Economic Research, Inc.
  3. Leonardo Becchetti & Roberto Rocci & Giovanni Trovato, 2004. "Industry and Time Specific Deviations from Fundamental Values in a Random Coefficient Model," CEIS Research Paper 52, Tor Vergata University, CEIS.
  4. Ligeralde, Antonio V., 1997. "Covariance matrix estimators and tests of market efficiency," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 323-343, April.
  5. John Y. Campbell & Robert J. Shiller, 1988. "The Dividend Ratio Model and Small Sample Bias: A Monte Carlo Study," NBER Technical Working Papers 0067, National Bureau of Economic Research, Inc.
  6. Lucy F. Ackert & William C. Hunter, 2000. "An empirical examination of the price-dividend relation with dividend management," Working Paper Series WP-00-22, Federal Reserve Bank of Chicago.
  7. Bruce N. Lehmann, 1991. "Earnings, Dividend Policy, and Present Value Relations: Building Blocks of Dividend Policy Invariant Cash Flows," NBER Working Papers 3676, National Bureau of Economic Research, Inc.
  8. Peter Rappoport & Eugene N. White, 1991. "Was there a bubble in the 1929 Stock Market?," NBER Working Papers 3612, National Bureau of Economic Research, Inc.
  9. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  10. Robert P. Flood & Robert J. Hodrick, 1989. "Testable Implications of Indeterminacies in Models with Rational Expectations," NBER Working Papers 2903, National Bureau of Economic Research, Inc.

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