We prove the existence of approximate equilibria in exchange economies, giving bounds on the excess demand in terms of the number of traders and norms of the endowments, but independent of the preferences.

Stock return autocorrelation contains spurious components—the nonsynchronous trading effect (NT) and bid–ask bounce (BAB)—and genuine components—partial price adjustment (PPA) and time-varying risk premia (TVRP). We identify a portion that can unambiguously be attributed to PPA, using...

Time-varying risk premia (TVRP) is one of the four sources of stock return autocorrelation. TVRP arises in a securities market equilibrium when the equilibrium expected returns of the available investments vary over time; in particular, the presence of TVRP does not indicate pricing inefficiency....