returns for traces of predictability or non-randomness using variance ratio tests, Granger-Causality models and runs tests … inherent cause of predictability differs across groups. Research limitations/implications The authors present empirical … evidence which may be used to attain a deeper understanding of the links between predictability and market efficiency, in view …

martingale, as required by the theory, but a strict local martingale with consequences on the validity of the risk … filtration set so that an absolutely continuous strict local martingale, once projected on it, becomes continuous with jumps …

with the noisy rational expectations hypothesis. We find that in contrast to theory, for horizons close to two years, there … relationship becomes one-to-one, as the theory would predict. …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …