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The first assumption, laid out in Delong, Shleifer, Summers, and Waldmann (1990)，is that investors are subject to sentiment. Investorsen timent, defined broadly, is a belief about future cash flows and investment risks that is not justified by...

Economic Forces and the Stock Market pdf download. This paper tests whether innovations in macroeconomic variables are risks that are rewarded in the stock market. Financial theory suggests that the following macroeconomic variables should systematically affect stock...

No Contagion, Only Interdependence: Measuring Stock Market Comovements pdf download. Heteroskedasticity biases tests for contagion based on correlation coefficients. When contagion is defined as a significant increase in market comovement after a shock to one country, previous...

Does the Stock Market Overreact? Research in experimental psychology suggests that, in violation of Bayes' rule, most people tend to “overreact” to unexpected and dramatic news events. This study of market efficiency investigates whether such behavior affects...

The Behavior of Stock-Market Prices pdf download. The purpose of this paper will be todiscuss first in more detail the theoryunderlying the random-walk model andthen to test the model's empirical validity.The main conclusion will be that thedata...

Paul A.Samuelson has argued that one would expect that the efficient markets hy-pothesis should work better for individualstocks than for the stock market as a whole: Modern markets show considerable micro efficiency (for the reason that the...

If firms purchase capital up to the point where there is no further marginal benefit,and the firms'securities are equal in value to the capital,then the market value of securities measures thequantity of capital.I explore the implications of...