We show that uncertainty about parameters of the short rate model can account for the rejections of the expectations hypothesis for the term structure of interest rates. We assume that agents employ Bayes rule to learn parameter values in the context of a model that is subject to stochastic...

A number of papers have reported evidence that cross-section stock returns can be explained by the ration of the book value of complanies' assets to their market value. The unresolved issue, which we address here, is whether this evidence is consistent with the efficient markets hypothesis. We...

This paper investigates whether excess stock price volatility may be due in part to a failure of the market to form rational expectations. Using data on analysts' expectations of long run earnings growth for individual companies, we report a number of interelated results which lend support to...

Evidence that the term structure of interest rates does not satisfy the expectations hypothesis has been reported in a number of papers. However the nature and degree of this rejection is very sensitive to the exact specification of the tests. In this paper, we identify a source of small sample...