Learning, Asset - Pricing Tests, And Market Efficiency  

Oleh:

Shanken, Jay ; Lewellen, Katharina

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 3 (2002), page 1113-1146.
Topik: MARKETS; studies; efficient markets; impact analysis; cash flow; rates of return; econometrics
Fulltext: p 1113.pdf (209.06KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.6 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper studies the asset - pricing implications of parameter uncertainty. We show that, when investors must learn about expected cash flows, empirical tests can find patterns in the data that differ from those perceived by rational investors. Returns might appear predictable to an econometrician or appear to deviate from the capital asset pricing model, but investors can neither perceive nor exploit this predictability. Returns may also appear excessively volatile even tough prices react efficiently to cash - flow news. We conclude that parameter uncertainty can be important for characterizing and testing market efficiency.

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