The behaviour of UK stock prices and returns: Is the market efficient?

• 成果类型: Article
• 署名作者: Cuthbertson, K; Hayes, S; Nitzsche, D
• 署名单位: Universidad Nacional Autonoma de Mexico
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/1468-0297.00202
• 发表日期: 1997
• 页码: 986-1008
• 关键词: tests; volatility

摘要

The VAR methodology of Campbell and Shiller !(1989) is employed under four different assumptions regarding equilibrium expected returns to assess the efficiency of the UI; stock market. In our first model. equilibrium expected (real) returns are assumed to be constant, while in the second model. excess returns are assumed to be constant. The next two models assume that equilibrium returns depend upon a time-varying risk premium which varies with the conditional expectation of the return variance (i.e. the CAPM). Our results yield evidence of short-termism, even when the key assumption of a time-invariant discount rate is relaxed.