The theoretical model which we present in this chapter is an attempt to develop a framework of analysis sufficiently general to study the volatility of stock prices when markets are efficient but with no a priori specification on the distribution of the relevant stochastic processes. To this aim, we shift the attention from dividends to earnings and we take as the exogenous source of uncertainty the innovation in the present discounted value of earnings. We use the following notation in the rest of this chapter: p t and d t are the price and dividend per share at time t, Nt is the number of shares outstanding at time t, Xt is total earnings and B t is debt at time t. The (fixed) interest rate will be denoted by r and the discount factor by γ = (1 + r)−1. We will use the notation e t to indicate the innovation in the present discounted value of earnings per share, i.e.