The Behaviour of UK Stock Prices and Returns

Is the Market Efficient

Datos Bibliográficos

ID9710087
AutoresKeith Cuthbertson (Newcastle University), Simon Hayes (University of Newcastle‐upon‐Tyne and City University Business School), Dirk Nitzsche (0000-0003-2441-1288, University of Newcastle‐upon‐Tyne, Imperial College Management School, City University Business School and UNAM, Mexico City)
Año1997
Volumen107
Número443
Páginas986-1008
Fecha de publicación1997-07-01
Peer ReviewedSí
Open AccessSí
TipoARTICLE
RevistaThe Economic Journal (JOURNAL)
Identificadores de la revistaISSN: 0013-0133 • E-ISSN: 1468-0297
EditorialOxford University Press (OUP) (PUBLISHER)
DOI10.1111/j.1468-0297.1997.tb00003.x
OpenAlexW2073173439
IdiomaEN
Citas recibidas1
Referencias citadas18

The VAR methodology of Campbell and Shiller (1989) is employed under four different assumptions regarding equilibrium expected returns to assess the efficiency of the UK 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

Autoregressive conditional heteroskedasticity · Capital asset pricing model · Conditional variance · Econometrics · Economics · Excess return · Expected return · Financial economics · Portfolio · Risk premium · Stock (firearms · Stock market · Volatility (finance · Financial Markets and Investment Strategies · Housing Market and Economics · Monetary Policy and Economic Impact