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Crash-Testing the Efficient Market Hypothesis

In: NBER Macroeconomics Annual 1988, Volume 3

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  • Kenneth R. French

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Suggested Citation

  • Kenneth R. French, 1988. "Crash-Testing the Efficient Market Hypothesis," NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 277-286, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberch:10957
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    File URL: http://www.nber.org/chapters/c10957.pdf
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    References listed on IDEAS

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    1. Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
    2. 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 246-273, April.
    3. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
    4. Roll, Richard, 1984. "Orange Juice and Weather," American Economic Review, American Economic Association, vol. 74(5), pages 861-880, December.
    5. Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
    6. repec:bla:jfinan:v:43:y:1988:i:3:p:661-76 is not listed on IDEAS
    7. Keim, Donald B. & Stambaugh, Robert F., 1986. "Predicting returns in the stock and bond markets," Journal of Financial Economics, Elsevier, vol. 17(2), pages 357-390, December.
    8. Diamond, Douglas W. & Verrecchia, Robert E., 1981. "Information aggregation in a noisy rational expectations economy," Journal of Financial Economics, Elsevier, vol. 9(3), pages 221-235, September.
    9. Admati, Anat R, 1985. "A Noisy Rational Expectations Equilibrium for Multi-asset Securities Markets," Econometrica, Econometric Society, vol. 53(3), pages 629-657, May.
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    Cited by:

    1. Richard Simmons & Paolo Dini & Nigel Culkin & Giuseppe Littera, 2021. "Crisis and the Role of Money in the Real and Financial Economies—An Innovative Approach to Monetary Stimulus," JRFM, MDPI, vol. 14(3), pages 1-28, March.
    2. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
    3. Stefanescu, Razvan & Dumitriu, Ramona, 2016. "Particularitǎţi ale evoluţiei variabilelor financiare [Some particularities of the financial variables evolution]," MPRA Paper 73481, University Library of Munich, Germany, revised 02 Sep 2016.
    4. Simmons, Richard & Dini, Paolo & Culkin, Nigel & Littera, Giuseppe, 2021. "Crisis and the role of money in the real and financial economies: an innovative approach to monetary stimulus," LSE Research Online Documents on Economics 110904, London School of Economics and Political Science, LSE Library.
    5. Deven Bathia & Don Bredin & Dirk Nitzsche, 2016. "International Sentiment Spillovers in Equity Returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(4), pages 332-359, October.
    6. Bradley Jones, 2015. "Asset Bubbles: Re-thinking Policy for the Age of Asset Management," IMF Working Papers 2015/027, International Monetary Fund.

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