JFQ volume 27 issue 2 Cover and Front matter
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JFQ volume 27 issue 4 Cover and Front matter
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JFQ volume 27 issue 3 Cover and Front matter
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JFQ volume 27 issue 1 Cover and Front matter
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JFQ volume 27 issue 3 Back matter
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JFQ volume 27 issue 1 Cover and Back matter
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JFQ volume 27 issue 4 Back matter
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JFQ volume 27 issue 2 Cover, Back matter and Errata
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Trading Rules and Excess Volatility
A number of recent papers have reported evidence that stock prices are more volatile than is consistent with efficient markets. We argue that the excess volatility tests address a definition of efficient markets that makes an extreme information assumption. We go on to test a weaker definition of efficient markets, due to Jensen (1978). We show the existence of a profitable trading rule that earns a significantly higher rate of return than a buy-and-hold strategy, and so conclude that stock prices are too volatile, even when judged by this weaker definition.
The Estimation of Quality-Adjusted Auction Returns with Varying Transaction Intervals
Previous research has separately addressed the problem of estimating risk in the presence of infrequent trading and the problem of estimating quality-adjusted returns in markets with quality variation in the observed price series. This paper simultaneously addresses both problems by applying a signal extraction method for unequally spaced data to decompose the observed price series with varying times between transactions into a quality-adjusted, permanent component (which would be observable in the absence of quality variation) plus a stationary, transitory quality variation component. Stamp auction transaction prices provide an application. Auction quality grading is treated in a manner analogous to bond ratings. Almost all of the observed variance is attributed to the auction quality variation. The observed auction returns and stock index returns are not well related.