Keywords
Affiliated Institutions
Related Publications
Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities
We examine the behavior of measured variances from the options market and the underlying stock market. Under the joint hypotheses that markets are informationally efficient and ...
An ordered probit analysis of transaction stock prices
We estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for discrete random variables. This approach recognizes that t...
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
One of the problems which has plagued those attempting to predict the behavior of capital markets is the absence of a body of positive microeconomic theory dealing with conditio...
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
A linearization of a rational expectations present value model for corporate stock prices produces a simple relation between the log dividend-price ratio and mathematical expect...
Publication Info
- Year
- 1988
- Type
- article
- Volume
- 22
- Issue
- 3
- Pages
- 375-393
- Citations
- 154
- Access
- Closed
External Links
Social Impact
Social media, news, blog, policy document mentions
Citation Metrics
Cite This
Identifiers
- DOI
- 10.1016/0304-3932(88)90004-9