Market volatility, market efficiency, and variance bounds tests /

Bibliographic Details
Main Author:	Peevey, Robert Melvin, 1937-
Other Authors:	Dubofsky, David A. (degree committee member.), Lummer, Scott L. (degree committee member.), Moroney, John R. (degree committee member.), Smith, William B. (degree committee member.), Trennepohl, Gary L. (degree committee member.)
Format:	Thesis Book
Language:	English
Published:	1991.
Subjects:	Stocks > Prices > Mathematical models. Stock exchanges > United States. Efficient market theory. Major finance. Stock exchanges. United States. Academic theses
Online Access:	ProQuest, Abstract Link to OAKTrust copy

Description
Abstract:	Variance bounds tests of security price volatility represent an important challenge to the efficient markets hypothesis. Most variance bounds tests have found market prices to be too volatile in comparison to the present value of dividends. However, these tests are based upon a linear relation between market price and fundamental value, utilize time-series data analysis, and, in some respects, are inconsistent with the basic market efficiency concept. This dissertation derives and empirically examines theoretical arguments concerning the relationship between prices of common stocks and fundamental values. The derived nonlinear relationship results in an improved, multidimensional test of market efficiency using cross-sectional data samples. The overall concept of market efficiency is confirmed by the close link between market price and fundamental value. However, an elasticity test reveals a flaw in the pricing mechanism and a test for a well known pricing anomaly demonstrates that the market price alone is not sufficient to explain the variation in fundamental value.
Item Description:	Typescript (photocopy). Vita. "Major subject: Finance."
Physical Description:	ix, 116 leaves : illustrations ; 29 cm
Bibliography:	Includes bibliographical references.