Learning, asset-pricing tests, and market efficiency

• 成果类型: Article
• 署名作者: Lewellen, J; Shanken, J
• 署名单位: University of Rochester
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00456
• 发表日期: 2002
• 页码: 1113-1145
• 关键词: equilibrium; returns; predictability; prices

摘要

This paper studies the asset-pricing implications of parameter uncertainty. We show that, when investors must learn about expected cash flows, empirical tests can find patterns in the data that differ from those perceived by rational investors. Returns might appear predictable to an econometrician, or appear to deviate from the Capital Asset Pricing Model, but investors can neither perceive nor exploit this predictability. Returns may also appear excessively volatile even though prices react efficiently to cash-flow news. We conclude that parameter uncertainty can be important for characterizing and testing market efficiency.