" (or "ex post rational") stock prices. Consequently, while high risk aversion implies high volatility in some settings, it …Researchers on variance bounds tests of stock price volatility recognized early that risk aversion can increase the … volatility of prices implied by the present-value model. This finding suggests that specifying risk neutrality may induce a bias …

This paper investigates the relationship between stock prices and the real exchange rate suggested by some structural … macroeconomic models such as Gavin[1989]. Adding stock prices to a conventional macroeconomic model allows us to examine the stock … short run relationships. The results suggest the usefulness of incorporating stock markets into such studies. …

contract) prices and also records the effect of a major financial crisis on the prices. Since the inception of trading in 1995 … crisis in July 1997, FKLI prices were at a high premium relative to its theoretical values. This significant mispricing of … whether trades by foreign investors had any impact when compared with prices by domestic investors. We find that foreign …

An analysis of whether investors consider the length of the settlement delay between the time a stock trade is executed … and the security is delivered. By modeling stock returns and conducting regression tests, the author concludes that stock … prices do reflect the effects of the settlement delay. …

An examination of the behavior of stock returns around quarterly earnings announcement dates finds a seasonal pattern …