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

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 …

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 …

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 …

institutions predicts higher volatility and greater noise in stock prices as well as greater fragility in times of crisis. When …

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 …