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- W1582214628 abstract "The early interchanges between academics and finance practitioners about capital market efficiency generated more heat than light. Models derived from market efficiency, such as capital asset pricing model (CAPM)-based portfolio management models, made some inroads among practitioners, but for the most part the debate between proponents and opponents of rationality in financial markets died down. Parties on both the sides agreed to disagree. The evidence of excess price volatility reopened the debate because it seemed at first to give unambiguous testimony to the existence of irrational elements in security price determination. Now it is clear that there exist other, more conservative ways to interpret the evidence of excess volatility: for example, it is not known what causes changes in the rates at which future expected dividends are discounted. The variance-bounds controversy, together with parallel developments in financial economics, permits a considerable narrowing of the gap separating proponents and opponents of market efficiency. The existence of excess volatility implies that there are profitable trading rules, but it is known that these generate only small utility gains to those employing them. In fact, this juxtaposition between large departures from present-value pricing and small gains to those who try to exploit these departures provides the key to finding some middle ground in the efficiency debate. Proponents of market efficiency are vindicated because no one has identified trading rules that are more than marginally profitable." @default.
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- W1582214628 date "1996-01-01" @default.
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- W1582214628 title "6 Stock price volatility" @default.
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- W1582214628 doi "https://doi.org/10.1016/s0169-7161(96)14008-6" @default.
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