Econometrica Vol. 49 No. 3 1981
The Present-Value Relation: Tests Based on Implied Variance Bounds
Abstract
[This paper investigates the implications for asset price dispersion of conventional security valuation models. Successively sharper variance bounds on asset prices are derived. Large-sample tests of the bounds are determined and applied to aggregated and disaggregated price and earnings data of U.S. corporations.]
- DOI
- 10.2307/1911512
- Volume
- 49
- Issue
- 3
- Pages
- 555
- Sources
- bibtex:phds-export.bib crossref openalex