The VAR methodology of J. Y. Campbell and R. J. Shiller (1989) is employed under four different assumptions regarding equilibrium expected returns to assess the efficiency of the U.K. stock market. In the authors' first model, equilibrium expected (real) returns are assumed to be constant, while...

Using a number of maturities of up to one year and weekly high quality data on U.K. certificate of deposit rates, 1975-92, the authors provide a variety of tests of the expectations hypothesis of the term structure. Their results appear to give more support to the expectations hypothesis than do...