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  1. Review of Quantitative Finance and Accounting
  2. Review of Quantitative Finance and Accounting : Volume 10
  3. Review of Quantitative Finance and Accounting : Volume 10, Issue 2, March 1998
  4. Re-Examining Variance-Bounds Tests for Asset Prices
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Review of Quantitative Finance and Accounting : Volume 48
Review of Quantitative Finance and Accounting : Volume 47
Review of Quantitative Finance and Accounting : Volume 46
Review of Quantitative Finance and Accounting : Volume 45
Review of Quantitative Finance and Accounting : Volume 44
Review of Quantitative Finance and Accounting : Volume 43
Review of Quantitative Finance and Accounting : Volume 42
Review of Quantitative Finance and Accounting : Volume 41
Review of Quantitative Finance and Accounting : Volume 40
Review of Quantitative Finance and Accounting : Volume 39
Review of Quantitative Finance and Accounting : Volume 38
Review of Quantitative Finance and Accounting : Volume 37
Review of Quantitative Finance and Accounting : Volume 36
Review of Quantitative Finance and Accounting : Volume 35
Review of Quantitative Finance and Accounting : Volume 34
Review of Quantitative Finance and Accounting : Volume 33
Review of Quantitative Finance and Accounting : Volume 32
Review of Quantitative Finance and Accounting : Volume 31
Review of Quantitative Finance and Accounting : Volume 30
Review of Quantitative Finance and Accounting : Volume 29
Review of Quantitative Finance and Accounting : Volume 28
Review of Quantitative Finance and Accounting : Volume 27
Review of Quantitative Finance and Accounting : Volume 26
Review of Quantitative Finance and Accounting : Volume 25
Review of Quantitative Finance and Accounting : Volume 24
Review of Quantitative Finance and Accounting : Volume 23
Review of Quantitative Finance and Accounting : Volume 22
Review of Quantitative Finance and Accounting : Volume 21
Review of Quantitative Finance and Accounting : Volume 20
Review of Quantitative Finance and Accounting : Volume 19
Review of Quantitative Finance and Accounting : Volume 18
Review of Quantitative Finance and Accounting : Volume 17
Review of Quantitative Finance and Accounting : Volume 16
Review of Quantitative Finance and Accounting : Volume 15
Review of Quantitative Finance and Accounting : Volume 14
Review of Quantitative Finance and Accounting : Volume 13
Review of Quantitative Finance and Accounting : Volume 12
Review of Quantitative Finance and Accounting : Volume 11
Review of Quantitative Finance and Accounting : Volume 10
Review of Quantitative Finance and Accounting : Volume 10, Issue 3, May 1998
Review of Quantitative Finance and Accounting : Volume 10, Issue 2, March 1998
A Unified Model of Corporate Acquisitions and Divestitures: An Incentive Perspective
Re-Examining Variance-Bounds Tests for Asset Prices
Acceptance of Accounting Standards
Common Stochastic Trends Among Asian Currencies: Evidence for Japan, Aseans, and the Asian Tigers
Companies' Modest Claims About the Value of CEO Stock Option Awards
Review of Quantitative Finance and Accounting : Volume 10, Issue 1, January 1998
Review of Quantitative Finance and Accounting : Volume 9
Review of Quantitative Finance and Accounting : Volume 8

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Re-Examining Variance-Bounds Tests for Asset Prices

Content Provider Springer Nature Link
Author Ama, Robert A. Wirjanto, Tony S.
Copyright Year 1998
Abstract The hypothesis of market efficiency is typically rejected by standard variance-bounds tests which assume stationary asset prices. A number of researchers, however, argue that tests used in previous studies are inappropriate since asset prices appear to be generated by nonstationary processes. In this paper, we propose a regression-based variance-bounds test that is valid when the asset price is an integrated process. We apply this test to annual U.S. data over the 1889 to 1985 sample period using measures of the perfect-foresight price constructed from a nonlinear asset-pricing equation that allows for a stochastic discount parameter. The results suggest that the data appear consistent with a version of the efficient-market hypothesis detailed in this paper.
Starting Page 155
Ending Page 172
Page Count 18
File Format PDF
ISSN 0924865X
Journal Review of Quantitative Finance and Accounting
Volume Number 10
Issue Number 2
e-ISSN 15737179
Language English
Publisher Kluwer Academic Publishers
Publisher Date 1998-01-01
Publisher Place Boston
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword Econometrics Accounting/Auditing Finance /Banking Operation Research/Decision Theory
Content Type Text
Resource Type Article
Subject Finance Accounting
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