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An Unbiased Reexamination of Stock Market Volatility.
- 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