The Present-Value Relation: Tests Based on Implied Variance Bounds

DOI10.2307/1911512zbMATH Open0469.62096OpenAlexW2011696830MaRDI QIDQ3923488FDOQ3923488

Authors: Stephen F. LeRoy, R. Porter 

Publication date: 1981

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911512

zbMATH Keywords

variance boundsmarket efficiencyaggregation errorlarge-sample testsasset price dispersionpresent- value analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24)

Cited In (66)

• Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
• Asset prices and the fundamentals: a Q test
• Sharing idiosyncratic risk even though prices are ``wrong
• Extrapolative asset pricing
• Disaster learning and aggregate investment
• Multiple subordinated modeling of asset returns: implications for option pricing
• Behavioral heterogeneity and financial crisis: the role of sentiment
• Price impact in Nash equilibria
• Rational bubbles. A test
• Properties of equilibrium asset prices under alternative learning schemes
• Present value models with feedback. Solutions, stability, bubbles, and some empirical evidence
• Size and power in tests of return predictability
• Complex stock price dynamics under Max Weber's spirit of capitalism hypothesis
• Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents
• On the volatility of stock prices: an exercise in quantitative theory
• Asset price volatility and information structures
• The stock implied volatility and the implied dividend volatility
• Fuzzy inductive reasoning, expectation formation and the behavior of security prices
• Market efficiency, asset returns, and the size of the risk premium in global equity markets.
• Testing for bubbles and change-points
• Real business cycles, animal spirits, and stock market valuation
• Informed speculation with k-level reasoning
• Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics
• LOCK-IN OF EXTRAPOLATIVE EXPECTATIONS IN AN ASSET PRICING MODEL
• Liquidity and interest rates
• Stationary bubble equilibria in rational expectation models
• A jump model for fads in asset prices under asymmetric information
• Fundamentals and bubbles in asset prices: Evidence from U.S. and Japanese asset prices
• A discontinuous mispricing model under asymmetric information
• Rational expectations, inflation and the nominal interest rate
• Delegated portfolio management, optimal fee contracts, and asset prices
• Convergence of least squares learning mechanisms in self-referential linear stochastic models
• Information and asset prices in complete markets exchange economies
• Momentum and the cross-section of stock volatility
• Fundamental bubbles in equity markets
• Heterogeneity in stock prices: a STAR model with multivariate transition function
• Asymmetric information in fads models
• Trends and random walks in macroeconomic time series
• The volatility of asset prices in a stochastic production economy
• Speed of price adjustment in Indian stock market: a paradox
• Cross-sectional asset pricing with heterogeneous preferences and beliefs
• Patent propensity, R\&D and market competition: dynamic spillovers of innovation leaders and followers
• A cross-sectional variance bounds test
• A martingale theory of asset pricing in a production economy
• Informational differences and learning in an asset market with boundedly rational agents
• Fundamentalists, chartists and asset pricing anomalies
• Behavioral heterogeneity in stock prices
• Discounted utility and present value -- a close relation
• Monetary policy and asset prices with belief-driven fluctuations
• A mispricing model of stocks under asymmetric information
• Dynamic equilibrium and volatility in financial asset markets
• Snowballing private information
• BUBBLES IN FOREIGN EXCHANGE MARKETS
• Rational bubbles and macroeconomic fluctuations: the (de-)stabilizing role of monetary policy
• Stock market conditions and monetary policy in a DSGE model for the U.S.
• A dynamical systems model of price bubbles and cycles
• Nonmyopic optimal portfolios in viable markets
• Early warning on stock market bubbles via methods of optimization, clustering and inverse problems
• Liquidity and asset prices in rational expectations equilibrium with ambiguous information
• On rational exuberance
• A state space model of the economic fundamentals
• Intrinsic bubbles and asset price volatility
• Strong resonances and chaos in a stock market model
• Indeterminacy in stochastic overlapping generations models: real effects in the long run
• Testing for a rational bubble under long memory
• Present value models with feedback

This page was built for publication: The Present-Value Relation: Tests Based on Implied Variance Bounds

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3923488)