discretion in determining the level of investment. What is the link between stock price informational efficiency and economic … efficiency? We present a model of the stock market in which: (i) managers have discretion in making investments and must be given …

portfolio moves closer to exact efficiency, the GLS mean-beta relation moves closer to the exact linear relation corresponding …'s squared relative efficiency, which measures closeness to efficiency in mean-variance space …

rational expectations or market efficiency and in order to stress this fact, the term "speculative efficiency" is used to …

This paper examines the efficiency of a decentralized equilibrium in a broad class of random-search job-ladder models … vacancies in the steady state. On-the-job searches also lead to excess volatility in unemployment in response to aggregate …

ownership and trades by large institutions lead to higher volatility and to increased return and liquidity comovement. Moreover …

Many seemingly discordant results are reconciled if firm-specific return volatility is characterized as the intensity …, who can be last year's winners. This elevation in firm-specific fundamentals volatility elevates firm-specific return … volatility in a sufficiently informationally efficient stock market. These linkages are interconnected feedback loops, rather …

prices responded strongly to boat arrivals, but there was considerable volatility in the absence of news. The evidence …

-form market efficiency in the sense of Tobin (1982) …

This essay examines what volatility tests tell us about the data and what implications we should derive from them. It … argues that volatility tests do not tell us that "prices are too volatile", implying that "markets are inefficient", but … argues that the discount rate residuals documented by volatility tests (and equivalent return forecasting regressions or …