The Behaviour of UK Stock Prices and Returns
Is the Market Efficient
Bibliographic Data
| ID | 9710087 |
|---|---|
| Authors | Keith 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) |
| Year | 1997 |
| Volume | 107 |
| Issue | 443 |
| Pages | 986-1008 |
| Publication date | 1997-07-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/j.1468-0297.1997.tb00003.x |
| OpenAlex | W2073173439 |
| Language | EN |
| Citations received | 1 |
| References cited | 18 |
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
Lectures on Macroeconomics
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
An Intertemporal Capital Asset Pricing Model
Cointegration and Tests of Present Value Models
Permanent and Temporary Components of Stock Prices
Is the Gilt-Equity Yield Ratio Useful for Predicting UK Stock Returns
Are UK Stock Prices Excessively Volatile? Trading Rules and Variance Bound Tests
Testing for Short Termism in the UK Stock Market
| Unique citing works | 1 |
|---|---|
| Citations per year | 0,06 |
| Citation span | 2008 - 2008 (1) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 1 |