A number of papers have reported evidence that cross-section stock returns can be explained by the ration of the book value of complanies' assets to their market value. The unresolved issue, which we address here, is whether this evidence is consistent with the efficient markets hypothesis. We...

This paper investigates whether excess stock price volatility may be due in part to a failure of the market to form rational expectations. Using data on analysts' expectations of long run earnings growth for individual companies, we report a number of interelated results which lend support to...

Evidence that the term structure of interest rates does not satisfy the expectations hypothesis has been reported in a number of papers. However the nature and degree of this rejection is very sensitive to the exact specification of the tests. In this paper, we identify a source of small sample...

A number of recent papers have reported evidence that stock prices are more volatile than is consistent with efficient markets. We argue that the excess volatility tests address a definition of efficient markets that makes an extreme information assumption. We go on to test a weaker definition...

The authors apply the original variance bounds tests to the present value model for the U.K. stock market and amend these tests to take account of revisions in the model's parameters. They show that variance bounds tests that correct for this are no longer violated. However, they claim there is...

We contribute to the debate over whether forecastable stock returns reflect an unexploited profit opportunity or rationally reflect risk differentials. We test whether agents could earn excess returns by selecting stocks which have a low market price compared to an estimate of the fundamental...

"We evaluate whether the market reacts rationally to profit warnings by testing for subsequent abnormal returns. Warnings fall into two classes: those that include a new earnings forecast, and those that offer only the guidance that earnings will be below current expectations. We find...