Estimated effects of relative prices on trade shares are presented in this paper for 64 countries. The equations are estimated using pooled time series, cross section data under the assumption that the error term is serially correlated across time and heteroskedastic across countries. The...

Simple efficient markets models imply that the covariance between prices of speculative assets cannot exceed the covariance between their respective fundamentals unless there is positive information pooling. Positive information pooling occurs when there is more information, in a sense defined...

A questionnaire survey of investors in initial public offerings (IPO's) was undertaken to learn about patterns of investor behavior that might be relevant to theories of their underpricing. Respondents were asked for their perception of the allocation process, their concern with stockbroker or...

Questionnaires were sent out at the time of the October 19, 1987 stock market crash to both individual and institutional investors inquiring about their behavior during the crash. Nearly 1000 responses were received. The survey results show that: 1. no news story or rumor appearing on the 19th...

This paper will develop the efficient markets model in Section I to clarify some theoretical questions that may arise in connection with the inequality (1) and some similar inequalities will be derived that put limits on the standard deviation of the innovation in price and the standard...

Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post (or fundamental) value, but the models do not imply that the covariances between prices equal the corresponding covariances of ex-post values. We present bounds for covariances and...

There have been enormous differences of opinion between U.S. and Japanese institutional investors about the outlook for stock prices, differences across the two countries in average one-year-ahead forecasts for the Japanese stock market as great as twenty percentage points. In the past two years...

Real stock prices seem to overreact to changes in long-term interest rates. That is, real stock prices drop when long-term interest rates rise (and rise when they fall) more than would be implied by a rational expectations present value model where expectations are based on a vector...

In a questionnaire survey we asked Japanese institutional investors to recall what they thought and did during the worldwide stock market crash in October, 1987. The results confirm that the drop in U. S. stock prices was the primary factor on their minds, and other news stories in the United...

This paper presents estimates indicating that, for aggregate U.S. stock market data 1871-1986, a long historical average of real earnings is a good predictor of the present value of future real dividends. This is true even when the information contained in stock prices is taken into account. We...