Variance Bounds Tests and Stock Price Valuation Models

摘要: Previous use of plots stock prices and "perfect-foresight" p*"t as evidence either "excess volatility" or nonconstant discount rates is invalid since by construction will differ form be much smoother than rational if are constant. Further, appear nonstationary, which can account for the previously reported gross violations variance bounds. Conditional bounds that valid under nonstationarity not violated Standard Poor's data. The results consistent with changes in expectations future cash flows causing prices.