The Behaviour of UK Stock Prices and Returns: Is the Market Efficient?

Keith Cuthbertson, Simon Hayes and Dirk Nitzsche

Economic Journal, 1997, vol. 107, issue 443, 986-1008

Abstract: The VAR methodology of J. Y. Campbell and R. J. Shiller (1989) is employed under four different assumptions regarding equilibrium expected returns to assess the efficiency of the U.K. stock market. In the authors' first model, equilibrium expected (real) returns are assumed to be constant, while in the second model, excess returns are assumed to be constant. The next two models assume that equilibrium returns depend upon a time-varying risk premium which varies with the conditional expectation of the return variance (i.e., the CAPM). The authors' results yield evidence of short-termism, even when the key assumption of a time-invariant discount rate is relaxed. Copyright 1997 by Royal Economic Society.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://links.jstor.org/sici?sici=0013-0133%2819970 ... 0.CO%3B2-J&origin=bc full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecj:econjl:v:107:y:1997:i:443:p:986-1008

Ordering information: This journal article can be ordered from
http://www.blackwell ... al.asp?ref=0013-0133

Access Statistics for this article

Economic Journal is currently edited by Martin Cripps, Steve Machin, Woulter den Haan, Andrea Galeotti, Rachel Griffith and Frederic Vermeulen

More articles in Economic Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().