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Efficiency and the Variability of Asset Prices

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  • LeRoy, Stephen F

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  • LeRoy, Stephen F, 1984. "Efficiency and the Variability of Asset Prices," American Economic Review, American Economic Association, vol. 74(2), pages 183-187, May.
    • Handle: RePEc:aea:aecrev:v:74:y:1984:i:2:p:183-87
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    Cited by:

    1. David R. Peterson, 1986. "An Empirical Test Of An Ex-Ante Model Of The Determination Of Stock Return Volatility," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(3), pages 203-214, September.
    2. Gilbert Colletaz, 1987. "Les taux d'intérêt observés sur le marché monétaire sont-ils trop volatils ?," Revue Économique, Programme National Persée, vol. 38(4), pages 837-852.
    3. Kenneth D. West, 1987. "A Specification Test for Speculative Bubbles," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 102(3), pages 553-580.
    4. Lansing, Kevin J. & LeRoy, Stephen F., 2014. "Risk aversion, investor information and stock market volatility," European Economic Review, Elsevier, vol. 70(C), pages 88-107.
    5. Cochrane, John H, 1992. "Explaining the Variance of Price-Dividend Ratios," The Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 243-280.
    6. Flood, Robert P & Hodrick, Robert J, 1986. "Asset Price Volatility, Bubbles, and Process Switching," Journal of Finance, American Finance Association, vol. 41(4), pages 831-842, September.
    7. West, Kenneth D, 1988. "Dividend Innovations and Stock Price Volatility," Econometrica, Econometric Society, vol. 56(1), pages 37-61, January.
    8. Wihlborg, Clas, 1990. "The incentive to acquire information and financial market efficiency," Journal of Economic Behavior & Organization, Elsevier, vol. 13(3), pages 347-365, June.
    9. Lansing, Kevin J., 2016. "On variance bounds for asset price changes," Journal of Financial Markets, Elsevier, vol. 28(C), pages 132-148.
    10. Akdeniz, Levent & Salih, Aslıhan Altay & Ok, Süleyman Tuluğ, 2007. "Are stock prices too volatile to be justified by the dividend discount model?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 433-444.
    11. Wihlborg, Clas, 1987. "Speculation, Bubbles, and Sunspots under Structural Uncertainty," Working Paper Series 180, Research Institute of Industrial Economics.
    12. Schotman, Peter C., 2001. "When units roots matter: excess volatility and excess smoothness of long-term interest rates," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 669-694, December.

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