Finance and Economics Discussion Series - Bubbles or Noise? Reconciling the Results of Broad-Dividend Variance-Bounds Tests - Garrett H Teselle
Recent research indicates that results of variance-bounds tests of stock price volatility may depend on the definition of cash flows deemed relevant to shareholders: Tests using regular (or \narrow\) dividends repeatedly have suggested that stock prices fluctuate more than can be explained by a simple present value hypothesis, while some tests using \broad dividends\ (i.e., narrow dividends plus proceeds from share liquidations) do not detect such excess price volatility. Researchers disagree..
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