The Ex Post Rational Price is Certainly Ex Post, It Might Be Rational, But Is It Useful?

This paper investigates the ex post rational price of Shiller (1981) to determine if it is a reliable guide to fundamental valuations of dividend-yielding assets. The ex post rational price is widely used to determine whether stock market price movements are rational responses to market news or not, and as such may prove pivotal to policy-makers in determining regulation of new and existing capital markets.

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Year of publication:	1998
Authors:	Kamstra, M.
Institutions:	Department of Economics, Simon Fraser University
Subject:	PRICING \| PRICES

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Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	13 pages
Classification:	G12 - Asset Pricing ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; N22 - U.S.; Canada: 1913-
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005767751