Almost all of the published estimates of the equity premium and of other rates, are point estimates. The original point of this article is to compute 95% confidence intervals for these parameters conditional on a theoretical dividend model. The monthly samples are considered to have a break...

This study re-evaluates the empirical evidence on excess volatility as pioneered by Shiller (Market Volatility, MIT Press, Cambridge, MA). The results show that a simple, non-dynamic, model of the price of the market stock as a function of the dividend on the market is supported. Moreover the...

This study identifies three anomalies in the British capital markets. It is statistically proven that the logs of six stock prices, in the British stock market, are cointegrated with the logs of a market index, a bond price, and an exchange rate. This means that the lagged residual of each...