Do stock prices move together too much?

We show that comovements of individual stock prices cannot be justified by economic fundamentals. This finding is a rejection of the present value model of security valuation. Unlike other tests of this model, ours is robust in that it allows for volatility in ex ante rates of return. The only const...

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书目详细资料
Main Authors: Pindyck, Robert S., Rotemberg, Julio
格式: Working Paper
出版: MIT Center for Energy and Environmental Policy Research 2009
在线阅读:http://hdl.handle.net/1721.1/50141