Assumptions regarding long‐term expected returns have significant implications for asset/liability management of financial institutions. This article questions the validity of common assumptions regarding long‐term expected returns that are employed by financial institutions, in particular...

The definition of "fundamental value" and "speculative bubbles" that are standard in macroeconomics and finance are given formal representations as the countably additive part and the purely finitely additive part (a measure and a pure charge, respectively) of the supporting price system when...

We survey the variance-bounds tests of asset-price volatility, stressing the econometric aspects of these tests. The first variance-bounds tests of the present-value relation reported apparently striking evidence of excess volatility of asset prices. The statistical significance of the results,...