Efficient "Myopic" Asset Pricing in General Equilibrium: A Potential Pitfall in Excess Volatility Tests

Preprint OPEN
Willem H. Buiter;

Excess volatility tests for financial market efficiency maintain the hypothesis of risk-neutrality. This permits the specification of the benchmark efficient market price as the present discounted value of expected future dividends. By departing from the risk-neutrality... View more
  • References (3)

    Robert P. Flood and Robert J. Hodrick (1986), 11Asset Price Volatility, Bubbles and Process Switching,H Journal of Finance, 41, September, pp. 831-842.

    Robert E. Lucas, Jr. (1978], "Asset Prices in An Exchange Economy,i! Econometrica, Vol. 46, Nov., pp. 1429-1445.

    Robert J. Shiller E1981a], "The Use of Volatility Measures in Assessing Market Efficiency,' Journal of Finance, 36, May! pp. 291-311. (1981b), "Do Stock Prices Move Too Much to be Justified by Subsequent Changes inflividends?" American Economic Review, 71, June, pp. 421-436.

  • Metrics
    No metrics available
Share - Bookmark