Cross-sectional Volatility on the U.K. Stock Market.
The excess volatility approach to testing the rational expectations-efficient markets hypothesis has focused on the time series properties of an aggregate stock market index. In this paper, the authors examine another dimension of volatility and study cross-section data on the stock market valuation of individual firms. They compare cross-section data on the actual stock market value of firms with the cross-section data on the present discounted value of total realized future dividend payments. Copyright 1991 by Blackwell Publishers Ltd and The Victoria University of Manchester
Year of publication: |
1991
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Authors: | Bulkley, George ; Tonks, Ian |
Published in: |
The Manchester School of Economic & Social Studies. - School of Economics. - Vol. 59.1991, Supplement,, p. 72-80
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Publisher: |
School of Economics |
Saved in:
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