Back to Search Start Over

An Unbiased Reexamination of Stock Market Volatility.

Authors :
Mankiw, N. Gregory
ROMER, DAVID
SHAPIRO, MATTHEW D.
Source :
Journal of Finance (Wiley-Blackwell); Jul1985, Vol. 40 Issue 3, p677-687, 11p, 2 Charts, 2 Graphs
Publication Year :
1985

Abstract

Recent work demonstrates serious statistical problems with standard volatility tests. This paper proposes new tests that are unbiased in small samples and that do not require assumptions of stationarity. The new tests continue to find evidence against the model positing rational expectations and a constant required rate of return on equity. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
00221082
Volume :
40
Issue :
3
Database :
Complementary Index
Journal :
Journal of Finance (Wiley-Blackwell)
Publication Type :
Academic Journal
Accession number :
4653540
Full Text :
https://doi.org/10.1111/j.1540-6261.1985.tb04990.x