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Cited by 377

The DOI matches its Crossref record; 46 of the 46 references it cites were found in a registry or an index.

Learning, Asset‐Pricing Tests, and Market Efficiency

Lewellen, Jonathan, Shanken, Jay·2002·The Journal of Finance
DOI 10.1111/1540-6261.00456
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Abstract

This paper studies the asset‐pricing implications of parameter uncertainty. We show that, when investors must learn about expected cash flows, empirical tests can find patterns in the data that differ from those perceived by rational investors. Returns might appear predictable to an econometrician, or appear to deviate from the Capital Asset Pricing Model, but investors can neither perceive nor exploit this predictability. Returns may also appear excessively volatile even though prices react efficiently to cash‐flow news. We conclude that parameter uncertainty can be important for characterizing and testing market efficiency.

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Metadata

Authors
Lewellen, J., & Shanken, J.
Venue
The Journal of Finance
Publisher
Wiley
Published
2002-06
Volume
57
Issue
3
Pages
1113-1145
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/1540-6261.00456
OpenAlex
W1966052319
Cited by
377
References
46
FWCI
36.61
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Learning, Asset‐Pricing Tests, and Market Efficiency. https://app.cochat.ai/papers/10.1111/1540-6261.00456
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Lewellen, J., & Shanken, J. (2002). Learning, Asset‐Pricing Tests, and Market Efficiency. The Journal of Finance. https://doi.org/10.1111/1540-6261.00456

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

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.