Cross-sectional Volatility on the U.K. Stock Market

George Bulkley () and Ian Tonks ()

The Manchester School of Economic & Social Studies, 1991, vol. 59, issue 0, pages 72-80

Abstract: The excess volatility approach to testing the rational expectations-efficient markets hypothesis has focused on the time series properties of an aggregate stock market index. In this paper, the authors examine another dimension of volatility and study cross-section data on the stock market valuation of individual firms. They compare cross-section data on the actual stock market value of firms with the cross-section data on the present discounted value of total realized future dividend payments. Copyright 1991 by Blackwell Publishers Ltd and The Victoria University of Manchester

Date: 1991

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Persistent link: http://EconPapers.repec.org/RePEc:bla:manch2:v:59:y:1991:i:0:p:72-80

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