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Asymmetric Information and the Excess Volatility of Stock Prices Author info | Abstract | Publisher info | Download info | Related research | Statistics Eden, B.
Jovanovic, B.
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Paper provided by University of Iowa, Department of Economics in its series Working Papers with number
92-18.
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Length: 19 pages
Date of creation: 1992Date of revision:
Handle: RePEc:uia:iowaec:92-18Contact details of provider: Postal: University of Iowa, Department of Economics, Henry B. Tippie College of Business, Iowa City, Iowa 52242 Phone: (319) 335-0829 Fax: (319) 335-1956 Web page: http://tippie.uiowa.edu/economics/ More information through EDIRC
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Keywords: information ; prices ; stock market ; Other versions of this item:
Article Paper Eden, Benjamin & Jovanovic, Boyan, 1988.
"Asymmetric Information And The Excess Volatility Of Stock Prices ,"
Working Papers
88-31, C.V. Starr Center for Applied Economics, New York University.
[Downloadable!] Eden, B. & Jovanovic, B., 1992.
"Asymmetric Information and the Excess Volatility to Stock Prices ,"
Working Papers
92-47, C.V. Starr Center for Applied Economics, New York University.
[Downloadable!] References listed on IDEAS 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.: Kleidon, Allan W, 1986.
"Variance Bounds Tests and Stock Price Valuation Models ,"
Journal of Political Economy ,
University of Chicago Press, vol. 94(5), pages 953-1001, October.
[Downloadable!] (restricted)
Cass, David & Shell, Karl, 1983.
"Do Sunspots Matter? ,"
Journal of Political Economy ,
University of Chicago Press, vol. 91(2), pages 193-227, April.
[Downloadable!] (restricted)
LeRoy, Stephen F, 1989.
"Efficient Capital Markets and Martingales ,"
Journal of Economic Literature ,
American Economic Association, vol. 27(4), pages 1583-1621, December.
[Downloadable!] (restricted)
Fama, Eugene F & French, Kenneth R, 1988.
"Permanent and Temporary Components of Stock Prices ,"
Journal of Political Economy ,
University of Chicago Press, vol. 96(2), pages 246-73, April.
[Downloadable!] (restricted)
Leroy, S.F., 1989.
"Efficient Capital Markets And Martingales ,"
University of California at Santa Barbara, Economics Working Paper Series
13-89, Department of Economics, UC Santa Barbara.
Grossman, Sanford J & Shiller, Robert J, 1981.
"The Determinants of the Variability of Stock Market Prices ,"
American Economic Review ,
American Economic Association, vol. 71(2), pages 222-27, May.
[Downloadable!] (restricted)
Other versions: Shiller, Robert J, 1981.
"Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? ,"
American Economic Review ,
American Economic Association, vol. 71(3), pages 421-36, June.
[Downloadable!] (restricted)
Other versions: Lucas, Robert E, Jr, 1978.
"Asset Prices in an Exchange Economy ,"
Econometrica ,
Econometric Society, vol. 46(6), pages 1429-45, November.
[Downloadable!] (restricted)
Cochrane, John H., 1991.
"Volatility tests and efficient markets : A review essay ,"
Journal of Monetary Economics ,
Elsevier, vol. 27(3), pages 463-485, June.
[Downloadable!] (restricted)
Other versions:
Full
references 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.)
John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000.
"Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk ,"
NBER Working Papers
7590, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Matthew Spiegel, 1996.
"Stock Price Volatility in a Multiple Security Overlapping Generations Model ,"
Finance
9608002, EconWPA.
[Downloadable!]
S. Rao Aiyagari & Mark Gertler, 1998.
""Overreaction" of Asset Prices in General Equilibrium ,"
NBER Working Papers
6747, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Aiyagari, S.R. & Gertler, M., 1998.
""Overreaction" of Asset Prices in General Equilibrium ,"
Working Papers
98-25, C.V. Starr Center for Applied Economics, New York University.
[Downloadable!] S. Rao Aiyagari & Mark Gertler, 1999.
""Overreaction" of Asset Prices in General Equilibrium ,"
Review of Economic Dynamics ,
Elsevier for the Society for Economic Dynamics, vol. 2(1), pages 3-35, January.
[Downloadable!] (restricted) John Y. Campbell & Martin Lettau, 1999.
"Dispersion and Volatility in Stock Returns: An Empirical Investigation ,"
NBER Working Papers
7144, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
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