are unobserved, but inferred as above. I find that this model is capable of reproducing three stylized facts of stock …

stock prices fluctuate more than can be explained by a simple present value hypothesis, while some tests using "broad …Recent research indicates that results of variance-bounds tests of stock price volatility may depend on the definition …

In this paper, we examine the stock price benefit of meeting or beating earnings expectations. Using a general … methodology, we find no evidence that the timing of earnings news has any benefit for firms' stock returns. In fact, in many cases … methodologies, have suggested that firms can boost their stock returns by getting bad news out early. Our results are robust across …

If stock prices do not follow random walks, what processes do they follow? This question is important not only for … underlying stock prices is needed. Although several models have been proposed to capture the predictability of stock returns … state variables characterize the stochastic movements of stock returns. Using equal-weighted CRSP monthly index, the paper …

empirical evidence, however, suggests that firms that issue in hot markets are a major source of stock price underperformance of … cold market. We find that the two sets of firms have similar operating performance, but stock returns are worse for firms …

stochastic differential equations which describe the dynamic paths of a vector of state variables, prices, and PPP deviations …

composition of expenditure, and on the wedge between consumer and domestic prices, rather than on the response of aggregate output … and domestic prices. …