The Behaviour of UK Stock Prices and Returns

Is the Market Efficient

Dados 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)
Ano1997
Volume107
Fascículo443
Páginas986-1008
Data de publicação1997-07-01
Peer ReviewedSim
Open AccessSim
TipoARTICLE
PeriódicoThe Economic Journal (JOURNAL)
Identificadores do periódicoISSN: 0013-0133 • E-ISSN: 1468-0297
EditoraOxford University Press (OUP) (PUBLISHER)
DOI10.1111/j.1468-0297.1997.tb00003.x
OpenAlexW2073173439
IdiomaEN
Citações recebidas1
Referências 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