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On the current state of the stock market rationality hypothesis

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  • Merton, Robert C.

Abstract

"Presented at the Italian-American Conference in honor of Franco Modigliani, at Martha's Vineyard, September 19-20, 1985."

Suggested Citation

  • Merton, Robert C., 1985. "On the current state of the stock market rationality hypothesis," Working papers 1717-85., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    • Handle: RePEc:mit:sloanp:2125
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    File URL: http://hdl.handle.net/1721.1/2125
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    Cited by:

    1. Patricia Fraser & Andrew McKaig, 2001. "Basis variation and a common source of risk: evidence from UK futures markets," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 39-62.
    2. Tabellini, Guido, 1988. "Learning and the volatility of exchange rates," Journal of International Money and Finance, Elsevier, vol. 7(2), pages 243-250, June.
    3. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
    4. Richard Zeckhauser & Jayendu Patel & Darryll Hendricks, 1991. "Nonrational Actors and Financial Market Behavior," NBER Working Papers 3731, National Bureau of Economic Research, Inc.
    5. Lo, Andrew W & MacKinlay, A Craig, 1990. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 431-467.
    6. N. Gregory Mankiw & David Romer & Matthew D. Shapiro, 1991. "Stock Market Forecastability and Volatility: A Statistical Appraisal," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 455-477.
    7. Meghana Ayyagari & Asli Demirgüç-Kunt & Vojislav Maksimovic, 2013. "What Determines Protection of Property Rights? An Analysis of Direct and Indirect Effects," Journal of Financial Econometrics, Oxford University Press, vol. 11(4), pages 610-649, September.
    8. Jinesh Jain & Nidhi Walia & Simarjeet Singh & Esha Jain, 2022. "Mapping the field of behavioural biases: a literature review using bibliometric analysis," Management Review Quarterly, Springer, vol. 72(3), pages 823-855, September.
    9. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration.
    10. Gabriel P. Mathy, 2020. "How much did uncertainty shocks matter in the Great Depression?," Cliometrica, Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 14(2), pages 283-323, May.
    11. Jiali Fang & Ben Jacobsen & Yafeng Qin, 2014. "Predictability of the simple technical trading rules: An out‐of‐sample test," Review of Financial Economics, John Wiley & Sons, vol. 23(1), pages 30-45, January.
    12. Galor, Oded & Moav, Omer & Vollrath, Dietrich, 2003. "Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence," CEPR Discussion Papers 3817, C.E.P.R. Discussion Papers.
    13. Gabriel P. Mathy, 2014. "Uncertainty Shocks and Equity Return Jumps and Volatility During the Great Depression," Working Papers 2014-02, American University, Department of Economics.
    14. Akshita Singh & Shailendra Kumar & Utkarsh Goel & Amar Johri, 2023. "Behavioural biases in real estate investment: a literature review and future research agenda," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-17, December.
    15. Ercan Balaban & Kursat Kunter, 1996. "Stock Market Efficiency in a Developing Economy : Evidence from Turkey," Discussion Papers 9612, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    16. David Ikenberry & Josef Lakonishok & Theo Vermaelen, 2000. "Stock Repurchases in Canada: Performance and Strategic Trading," Journal of Finance, American Finance Association, vol. 55(5), pages 2373-2397, October.
    17. Peter Hansen & Asger Lunde, 2003. "Testing the Significance of Calendar Effects," Working Papers 2003-03, Brown University, Department of Economics.
    18. Janet Jyothi Dsouza & T. Mallikarjunappa, 2015. "Does the Indian Stock Market Exhibit Random Walk?," Paradigm, , vol. 19(1), pages 1-20, June.
    19. Sian Owen, 2002. "Behavioural Finance and the Decision to Invest in High Tech Stocks," Working Paper Series 119, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    20. Lambert Jerman, 2015. "Les Enjeux De L'Application Des Normes Ias-Ifrs : L'Etude Des Preparateurs Des Comptes, Une Perspective De Recherche Encore Inexploree," Post-Print hal-01188736, HAL.
    21. Dailami, Mansoor & Atkin, Michael, 1990. "Stock markets in developing countries : key issues and a research agenda," Policy Research Working Paper Series 515, The World Bank.

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    Keywords

    HD28 .M414 no.1717-; 85;

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