Market expectations of future return volatility play a crucial role in finance; so too does our understanding of the process by which information is incorporated in security prices through the trading process. This paper seeks to learn something about both of these issues by investigating...

Market expectations of future return volatility play a crucial role in finance; so too does our understanding of the process by which information is incorporated in security prices through the trading process. This paper seeks to learn something about both of these issues by investigating...

Our strategy in this chapter is as follows: (a) use financial market data to estimate time-series models for dividend growth and discount rates, (b) use these models to simulate dividend growth and discount rate paths for a variety of possible economies that do not contain bubbles, (c) calculate...

This paper develops an augmented Artificial Neural Network forecast-simulation procedure for estimating both the current fundamental price of a financial asset and the state-dependent distribution (including volatilities) from which future returns will be fundamentally drawn. The results provide...

This paper develops an augmented Artificial Neural Network forecast-simulation procedure for estimating both the current fundamental price of a financial asset and the state-dependent distribution (including volatilities) from which future returns will be fundamentally drawn. The results provide...