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Journal Article

The Present-Value Relation: Tests Based on Implied Variance Bounds

Stephen F. LeRoy and Richard D. Porter
Econometrica
Vol. 49, No. 3 (May, 1981), pp. 555-574
Published by: The Econometric Society
DOI: 10.2307/1911512
Stable URL: http://www.jstor.org/stable/1911512
Page Count: 20
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The Present-Value Relation: Tests Based on Implied Variance Bounds
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Abstract

This paper investigates the implications for asset price dispersion of conventional security valuation models. Successively sharper variance bounds on asset prices are derived. Large-sample tests of the bounds are determined and applied to aggregated and disaggregated price and earnings data of U.S. corporations.

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