@ARTICLE{17930042_1986,
author = {Summers, Lawrence H.},
keywords = {market efficiency hypothesis, rational behavior, speculation, мощность теста},
title = {Does the Stock Market Rationally Reflect Fundamental Values?},
journal = {Journal of Finance},
year = {1986},
month = {},
volume = {41},
number = {3},
pages = {591-601},
url = {http://ecsocman.hse.ru/text/17930042/},
publisher = {},
language = {ru},
abstract = {This paper examines the power of statistical tests commonly used to
evaluate the efficiency of speculative markets. It shows that these
tests have very low power. Market valuations can differ substantially
and persistently from the rational expectation of the present value
of cash flows without leaving statistically discernible traces in the
pattern of ex-post returns. This observation implies that speculation
is unlikely to ensure rational valuations, since similar problems of
identification plague both financial economists and would be
speculators },
annote = {This paper examines the power of statistical tests commonly used to
evaluate the efficiency of speculative markets. It shows that these
tests have very low power. Market valuations can differ substantially
and persistently from the rational expectation of the present value
of cash flows without leaving statistically discernible traces in the
pattern of ex-post returns. This observation implies that speculation
is unlikely to ensure rational valuations, since similar problems of
identification plague both financial economists and would be
speculators }
}