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.
Econometrica publishes original articles in all branches of economics - theoretical and empirical, abstract and applied, providing wide-ranging coverage across the subject area. It promotes studies that aim at the unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking. It explores a unique range of topics each year - from the frontier of theoretical developments in many new and important areas, to research on current and applied economic problems, to methodologically innovative, theoretical and applied studies in econometrics.
The Econometric Society is an international society for the advancement of economic theory in its relation to statistics and mathematics.
This item is part of a JSTOR Collection.
For terms and use, please refer to our Terms and Conditions
Econometrica
© 1981 The Econometric Society
Request Permissions
