Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: May, 1981, Volume 49, Issue 3

The Present-Value Relation: Tests Based on Implied Variance Bounds<555:TPRTBO>2.0.CO;2-3
p. 555-574

Richard D. Porter, Stephen F. LeRoy

This paper investigates the implications for asset price dispersion of conventional security valuation models. Successively sharper variance bounds on asset prices are derived. Large-sample tests of the bounds are determined and applied to aggregated and disaggregated price and earnings data in U.S. corporations.

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