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 …

costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset …

My initial motivation for considering volatility measures in the efficient markets models was to clarify the basic … efficiency. The efficient markets models, which are described in section II below ,relate a price today to the expected present … not to be regarded as just "another test" of market efficiency. Our confidence of our understanding of empirical phenomena …

This paper analyzes non-fundamental volatility and efficiency in a class of large games (including e.g. linear … rational inattention literature, both precludes non-fundamental volatility and imposes efficiency, whereas the Fisher … guarantee zero non-fundamental volatility in equilibrium, and provide another set of necessary and sufficient conditions to …

-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 …

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