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Cited by 484

The DOI matches its Crossref record; 35 of the 35 references it cites were found in a registry or an index.

Variance Bounds Tests and Stock Price Valuation Models

Kleidon, Allan W.·1986·Journal of Political Economy
DOI 10.1086/261419
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Abstract

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

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Metadata

Authors
Kleidon, A. W.
Venue
Journal of Political Economy
Publisher
University of Chicago Press
Published
1986-10
Volume
94
Issue
5
Pages
953-1001
ISSN
  • 0022-3808 (ISSN-L)
  • 1537-534X
DOI
10.1086/261419
OpenAlex
W2018262488
Cited by
484
References
35
FWCI
69.71
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Variance Bounds Tests and Stock Price Valuation Models. https://app.cochat.ai/papers/10.1086/261419
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Kleidon, A. W. (1986). Variance Bounds Tests and Stock Price Valuation Models. Journal of Political Economy. https://doi.org/10.1086/261419

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.